Multi-period mean–semivariance portfolio optimization based on uncertain measure

In this paper, we discuss a multi-period portfolio selection problem when security returns are given by experts’ estimations. By considering the security returns as uncertain variables, we propose a multi-period mean–semivariance portfolio optimization model with real-world constraints, in which tra...

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Bibliographic Details
Published in:	Soft computing (Berlin, Germany) Vol. 23; no. 15; pp. 6231 - 6247
Main Authors:	Chen, Wei, Li, Dandan, Lu, Shan, Liu, Weiyi
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.08.2019 Springer Nature B.V
Subjects:	Algorithms Artificial Intelligence Bankruptcy Computational Intelligence Constraint modelling Control Costs Engineering Evolutionary algorithms Expected values Fuzzy sets Linear programming Mathematical Logic and Foundations Mechatronics Methodologies and Application Optimization models Optimization techniques Random variables Robotics Security Skewness Multi-period portfolio optimization Semivariance Uncertain variable Imperialist competitive algorithm Cardinality constraint
ISSN:	1432-7643, 1433-7479
Online Access:	Get full text
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