Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk
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 constra...
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| Format: | Article |
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MDPI AG
2019-09-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/21/10/944 |
| _version_ | 1798005567745163264 |
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| author | Jun Zhang Qian Li |
| author_facet | Jun Zhang Qian Li |
| author_sort | Jun Zhang |
| collection | DOAJ |
| description | 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 designed by combining the advantages of the dragonfly algorithm (DA) and non-dominated sorting genetic algorithm II (NSGA II). Moreover, in the hybrid algorithm, parameter optimization, constraints handling, and external archive approaches are used to improve the ability of finding accurate approximations of Pareto optimal solutions with high diversity and coverage. Finally, we provide several empirical studies to show the validity of the proposed approaches. |
| first_indexed | 2024-04-11T12:42:20Z |
| format | Article |
| id | doaj.art-b0071e947f8e401796ab99cf9f98d6d3 |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-04-11T12:42:20Z |
| publishDate | 2019-09-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-b0071e947f8e401796ab99cf9f98d6d32022-12-22T04:23:28ZengMDPI AGEntropy1099-43002019-09-01211094410.3390/e21100944e21100944Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background RiskJun Zhang0Qian Li1School of Management and Engineering, Capital University of Economics and Business, Beijing 100010, ChinaSchool of Management and Engineering, Capital University of Economics and Business, Beijing 100010, ChinaIn 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 designed by combining the advantages of the dragonfly algorithm (DA) and non-dominated sorting genetic algorithm II (NSGA II). Moreover, in the hybrid algorithm, parameter optimization, constraints handling, and external archive approaches are used to improve the ability of finding accurate approximations of Pareto optimal solutions with high diversity and coverage. Finally, we provide several empirical studies to show the validity of the proposed approaches.https://www.mdpi.com/1099-4300/21/10/944background riskfuzzy semi-entropymulti-period portfolio selectiondragonfly algorithmcredibility theory |
| spellingShingle | Jun Zhang Qian Li Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk Entropy background risk fuzzy semi-entropy multi-period portfolio selection dragonfly algorithm credibility theory |
| title | Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk |
| title_full | Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk |
| title_fullStr | Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk |
| title_full_unstemmed | Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk |
| title_short | Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk |
| title_sort | credibilistic mean semi entropy model for multi period portfolio selection with background risk |
| topic | background risk fuzzy semi-entropy multi-period portfolio selection dragonfly algorithm credibility theory |
| url | https://www.mdpi.com/1099-4300/21/10/944 |
| work_keys_str_mv | AT junzhang credibilisticmeansemientropymodelformultiperiodportfolioselectionwithbackgroundrisk AT qianli credibilisticmeansemientropymodelformultiperiodportfolioselectionwithbackgroundrisk |