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《第36届中国控制会议论文集(B)》2017年
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Fuzzy Multi-period Mean-variance-skewness Portfolio Selection Model with Transaction Cost

Xiaolian Meng  Nanyan Lin  
【摘要】:This paper deals with a multi-period portfolio selection problem with fuzzy returns. A mean-variance-skewness model for multi-period portfolio selection is presented by taking into account four criteria viz., short and long term returns, dividends, liquidity and number of assets in the portfolio. The return and risk level are measured by interval numbers in the proposed model. Furthermore, an intelligent algorithm is designed to obtain the optimal portfolio strategy. Finally, a numerical example is provided to illustrate the efficiency of the proposed model and the designed algorithm.
【作者单位】:School of Economics and Management,Nanjing University of Science and Technology
【分类号】:F224;F830.9
【正文快照】:
investors and experts into a portfolio selection model.1 IntroductionTanaka and Guo(1999)treated the returns of the assets asOne of the fundamental principles of financial investmentfuzzy variables.Carlsson et al.(2002)proposed fuzzy meanis diversificati

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