2019
DOI: 10.3390/e21100944
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Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk

Abstract: In financial markets, investors will face not only portfolio risk but also background risk. This paper proposes a credibilistic multi-objective mean-semi-entropy model with background risk for multi-period portfolio selection. In addition, realistic constraints such as liquidity, cardinality constraints, transaction costs, and buy-in thresholds are considered. For solving the proposed multi-objective problem efficiently, a novel hybrid algorithm named Hybrid Dragonfly Algorithm-Genetic Algorithm (HDA-GA) is de… Show more

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Cited by 8 publications
(2 citation statements)
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“…In this paper, we have compered the developed method only with the simple known methods which can be treated (in some sense) as asymptotic ones, because only the such type of study allows us to reveal and present transparently the specificity of a new method. The use of more complicated methods as a base of comparison, e.g., as proposed in [ 23 , 34 ], does not provide such a possibility, as it is very hard to explain reasonable the inevitable difference between the results of competing methods. Only that we can say in the such situation is that this difference may considered as an evidence in favor of our method as more methodologically justified.…”
Section: The Bicriteria Optimization Of Fuzzy Portfoliomentioning
confidence: 99%
See 1 more Smart Citation
“…In this paper, we have compered the developed method only with the simple known methods which can be treated (in some sense) as asymptotic ones, because only the such type of study allows us to reveal and present transparently the specificity of a new method. The use of more complicated methods as a base of comparison, e.g., as proposed in [ 23 , 34 ], does not provide such a possibility, as it is very hard to explain reasonable the inevitable difference between the results of competing methods. Only that we can say in the such situation is that this difference may considered as an evidence in favor of our method as more methodologically justified.…”
Section: The Bicriteria Optimization Of Fuzzy Portfoliomentioning
confidence: 99%
“…A multiple-period multiple-criteria portfolio selection problem is formulated and solved using a genetic algorithm. A credibility-based mean-semi-entropy multiple-period portfolio model, considering background risk and several constraints, namely, cardinality, liquidity, and buy-in thresholds is formulated and solved in [ 34 ]. In [ 35 ], the multi-period portfolio selection problem was formulated as a bi-objective optimization model taking into account the transaction cost and bankruptcy of investor.…”
Section: Introductionmentioning
confidence: 99%