Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm
Multi-period models of portfolio selection have been developed in the literature with respect to certain assumptions. In this study, for the first time, the portfolio selection problem has been modeled based on mean-semi variance with transaction cost and minimum transaction lots considering functio...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Growing Science
2016-04-01
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| Series: | International Journal of Industrial Engineering Computations |
| Subjects: | |
| Online Access: | http://www.growingscience.com/ijiec/Vol7/IJIEC_2015_43.pdf |
| _version_ | 1811217501153918976 |
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| author | Mohammad Ali Barati Mohammad Mohammadi Bahman Naderi |
| author_facet | Mohammad Ali Barati Mohammad Mohammadi Bahman Naderi |
| author_sort | Mohammad Ali Barati |
| collection | DOAJ |
| description | Multi-period models of portfolio selection have been developed in the literature with respect to certain assumptions. In this study, for the first time, the portfolio selection problem has been modeled based on mean-semi variance with transaction cost and minimum transaction lots considering functional constraints and fuzzy parameters. Functional constraints such as transaction cost and minimum transaction lots were included. In addition, the returns on assets parameters were considered as trapezoidal fuzzy numbers. An efficient genetic algorithm (GA) was designed, results were analyzed using numerical instances and sensitivity analysis were executed. In the numerical study, the problem was solved based on the presence or absence of each mode of constraints including transaction costs and minimum transaction lots. In addition, with the use of sensitivity analysis, the results of the model were presented with the variations of minimum expected rate of programming periods. |
| first_indexed | 2024-04-12T06:55:51Z |
| format | Article |
| id | doaj.art-3b27ea61c79a4e48af7b9f29d1f27df9 |
| institution | Directory Open Access Journal |
| issn | 1923-2926 1923-2934 |
| language | English |
| last_indexed | 2024-04-12T06:55:51Z |
| publishDate | 2016-04-01 |
| publisher | Growing Science |
| record_format | Article |
| series | International Journal of Industrial Engineering Computations |
| spelling | doaj.art-3b27ea61c79a4e48af7b9f29d1f27df92022-12-22T03:43:08ZengGrowing ScienceInternational Journal of Industrial Engineering Computations1923-29261923-29342016-04-017221722810.5267/j.ijiec.2015.10.007Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithmMohammad Ali BaratiMohammad MohammadiBahman Naderi Multi-period models of portfolio selection have been developed in the literature with respect to certain assumptions. In this study, for the first time, the portfolio selection problem has been modeled based on mean-semi variance with transaction cost and minimum transaction lots considering functional constraints and fuzzy parameters. Functional constraints such as transaction cost and minimum transaction lots were included. In addition, the returns on assets parameters were considered as trapezoidal fuzzy numbers. An efficient genetic algorithm (GA) was designed, results were analyzed using numerical instances and sensitivity analysis were executed. In the numerical study, the problem was solved based on the presence or absence of each mode of constraints including transaction costs and minimum transaction lots. In addition, with the use of sensitivity analysis, the results of the model were presented with the variations of minimum expected rate of programming periods.http://www.growingscience.com/ijiec/Vol7/IJIEC_2015_43.pdfMulti-period portfolioMean-semi varianceTransaction costMinimum transaction lotsFuzzy theory |
| spellingShingle | Mohammad Ali Barati Mohammad Mohammadi Bahman Naderi Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm International Journal of Industrial Engineering Computations Multi-period portfolio Mean-semi variance Transaction cost Minimum transaction lots Fuzzy theory |
| title | Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm |
| title_full | Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm |
| title_fullStr | Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm |
| title_full_unstemmed | Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm |
| title_short | Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm |
| title_sort | multi period fuzzy mean semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm |
| topic | Multi-period portfolio Mean-semi variance Transaction cost Minimum transaction lots Fuzzy theory |
| url | http://www.growingscience.com/ijiec/Vol7/IJIEC_2015_43.pdf |
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