Fuzzy multi-period portfolio selection model with discounted transaction costs

Liu, Yong Jun; Zhang, Weiguo; Zhao, Xuejin

doi:10.1007/s00500-016-2325-5

Cited by 21 publications

(6 citation statements)

References 42 publications

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“…It is known that the optimal solution of a linear programming model only depends on the constraints, and much of the information present in the data is ignored. The use of probabilistic distributions allows to account for more information, but it may be impossible to collect enough data for determining the probability distribution in emerging stock markets without enough historical data such as in China [20] and similar as in Turkey. With the introduction of the concept of fuzzy sets in the seminal paper of L. A. Zadeh [38], we have an alternative and powerful way of modeling data information without using stochastic concepts [29].…”

Section: Preliminariesmentioning

confidence: 99%

“…However, uncertainties resulting from the various socio-economic, social and political situations may prevent the use of MVM by itself (Please refer to the appendix for MVM of Markowitz). Instead, using fuzzy models considering uncertainty may be beneficial to use since fuzzy numbers are powerful for describing impreciseness or vagueness of numeric quantities in the field of decision-making [20], and the selection of the optimal portfolio belongs to that field [19]. Fuzziness/ fuzzy logic-optimization has been widely used and successfully applied in real-life problems in social sciences.…”

Section: Introductionmentioning

confidence: 99%

“…Many existing studies have shown that transaction costs can significantly affect investment behavior. There are several kinds of transaction costs like proportional, fixed, linear or non-linear [20]. Omitting them or deducting the cost from the portfolio return may result in inefficient portfolios.…”

Section: Introductionmentioning

confidence: 99%

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Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case

Petriçli

Emel

Kılınçarslan

2019

Cro. Oper. Res. Rev.

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The socioeconomic or political structures of countries and investment costs play a crucial role in investor decisions, especially in developing countries where the environment is unstable. In this regard, fuzzy models that consider the investment amount and cost may enable making more realistic decisions rather than the deterministic models used in portfolio optimization (PO). Hence, the objective of this paper is to examine the effects of the environment, investment amount and cost on PO in a politically, socially and economically unstable environment. Konno-Yamazaki PO model was fuzzified by adopting fuzzy linear programming (FLP) approaches of Verdegay and Werners for this purpose. Afterward, extended models were created. To do that, investment amount, tax and transaction costs were integrated into the return constraint of the fuzzified models. Mean-Variance Model (MVM) of Markowitz was also used for comparatively interpreting the results of the optimization. Results show that the fuzzified models based on Verdegay and Werners FLP approaches can be suggested as a decision-making tool, respectively for risk-averse and risk-taker investors. The extended models provide much better results compared to the fuzzified models. On the other hand, they are not more successful than the MVM in an unstable environment but the stable environment. The main contributions are considering political, social and economic events in the optimization, comparatively analyzing fuzzified Konno-Yamazaki model with its extended versions and the MVM, investigating the relationship between optimization models and investor types.

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Section: Preliminariesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case

Petriçli

Emel

Kılınçarslan

2019

Cro. Oper. Res. Rev.

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“…The most important criteria were the modified portfolio return and the risk treated as modified variance. In [ 36 ], with the use of possibility theory, a new multiple-objective portfolio selection model with discounted transaction costs is developed. To take into account the relative importance and the mutual conditionality of local criteria, a weighted max–min fuzzy goal programming approach is introduced and applied.…”

Section: Introductionmentioning

confidence: 99%

A Simple View on the Interval and Fuzzy Portfolio Selection Problems

Kaczmarek

Dymova

Sevastjanov

2020

Entropy

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In this paper, first we show that the variance used in the Markowitz’s mean-variance model for the portfolio selection with its numerous modifications often does not properly present the risk of portfolio. Therefore, we propose another treating of portfolio risk as the measure of possibility to earn unacceptable low profits of portfolio and a simple mathematical formalization of this measure. In a similar way, we treat the criterion of portfolio’s return maximization as the measure of possibility to get a maximal profit. As the result, we formulate the portfolio selection problem as a bicriteria optimization task. Then, we study the properties of the developed approach using critical examples of portfolios with interval and fuzzy valued returns. The α-cuts representation of fuzzy returns was used. To validate the proposed method, we compare the results we got using it with those obtained with the use of fuzzy versions of seven widely reputed methods for portfolio selection. As in our approach we deal with the bicriteria task, the three most popular methods for local criteria aggregation are compared using the known example of fuzzy portfolio consist of five assets. It is shown that the results we got using our approach to the interval and fuzzy portfolio selection reflect better the essence of this task than those obtained by widely reputed traditional methods for portfolio selection in the fuzzy setting.

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“…Chen et al [11] proposed a possibilistic mean semiabsolute deviation portfolio model with V-shape transaction costs to deal with portfolio adjusting problem. Liu et al [12] and Liu and Zhang [13] discussed a multiperiod portfolio selection with discounted transaction costs in a fuzzy uncertain investment environment. Alali and Tolga [14] adapted TODIM to the portfolio allocation process and verified portfolio based on outperforming TODIM configurations yields significantly better results than equally weighted portfolio (1/N) and insignificantly inferior result than minimum variance portfolio in terms of the sharp ratio.…”

Section: Introductionmentioning

confidence: 99%

Knowledge Framework and Evolution of Fuzzy Portfolio Research: A Bibliometric Analysis

Zhou

2020

Mathematical Problems in Engineering

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Recently, wide applications of fuzzy set theory have attracted the attention of both researchers and practitioners. Fuzzy portfolio develops as a new area in the research field of investment portfolio. This paper investigates the major research hotspots, development trend, and evolution of fuzzy portfolio, which provides a systematic review of the current fuzzy portfolio literature. CiteSpace, the most commonly used bibliometrics software, is used in this article. According to the 602 articles with 15132 references, several conclusions can be summarized as follows: (1) Fuzzy portfolio becomes increasingly interdisciplinary with the connections among “Computer Science” and so on. (2) Most contributive authors are Markowitz and Zadeh. (3) South China University of Technology makes excellent performance in this research area and China is the most influential country. (4) European Journal of Operations Research is the cradle of plenty of crucial fuzzy portfolio investigations. (5) We find some research hotspots helpful to make scientific predictions of future trends by analyzing the keywords. By utilizing the effective bibliometric methods, we provide a comprehensive analysis and deep insights into the fuzzy portfolio research, enabling the individuals, especially the new beginners who are interested in this area to learn fuzzy portfolio, which will be of great help for their future explorations.

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Fuzzy multi-period portfolio selection model with discounted transaction costs

Cited by 21 publications

References 42 publications

Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case

Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case

A Simple View on the Interval and Fuzzy Portfolio Selection Problems

Knowledge Framework and Evolution of Fuzzy Portfolio Research: A Bibliometric Analysis

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