A Fuzzy Multi-Objective Portfolio Selection Model with Piecewise Linear Transaction Costs

カテゴリ: 論文誌(論文単位)

グループ名: 【C】電子・情報・システム部門

発行日: 2014/06/01

タイトル(英語): A Fuzzy Multi-Objective Portfolio Selection Model with Piecewise Linear Transaction Costs

著者名: You Li (Department of Production, Graduate School of IPS, Waseda University), Bo Wang (School of Management and Engineering, Nanjing University), Junzo Watada (Department of Production, Graduate School of IPS, Waseda University)

著者名(英語): You Li (Department of Production, Graduate School of IPS, Waseda University), Bo Wang (School of Management and Engineering, Nanjing University), Junzo Watada (Department of Production, Graduate School of IPS, Waseda University)

キーワード: fuzzy multi-objective portfolio selection，value at risk，piecewise linear transaction cost，particle swarm optimization

要約(英語): In this paper, we studied a multi-objective portfolio selection problem with piecewise linear transaction costs in a fuzzy environment. Transaction costs are expenses incurred when buying or selling securities and they are a burden on investors who frequently make trades to balance their portfolio. To better evaluate portfolio performance with transaction costs, this paper extends a previous study to a new model called fuzzy multi-objective portfolio selection model with piecewise linear transaction costs. A fuzzy simulation-based particle swarm optimization algorithm is designed to solve the model considering investors' individual risk attitude. In addition, several numerical examples are provided to illustrate the effectiveness of this model and algorithm. A conclusion is drawn at the end of this paper.

本誌: 電気学会論文誌C（電子・情報・システム部門誌） Vol.134 No.6 （2014） 特集：デペンダブルなサービスシステムに貢献する情報・システム技術

本誌掲載ページ: 780-787 p

原稿種別: 論文／英語

電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejeiss/134/6/134_780/_article/-char/ja/