Fuzzy Multi-period Portfolio Optimization Problem of Stock Market

DOI

10.2991/icmesd-18.2018.161How to use a DOI?

Keywords

Fuzzy multi-period portfolio, The stock market, Financial assets, Risk management.

Abstract

Due to the important effect of the transaction cost, risk, skewness and kurtosis to portfolio returns, the aim of this paper is to simulate the real transactions in stock market by considering the above factors. Firstly, two mean-semi-variance-skewness-kurtosis portfolio optimization models in open-loop and closed-loop are proposed by considering the transaction cost, return, risk, skewness and kurtosis. Secondly, the fuzzy programming approach is used to transform the two models into the corresponding single-objective programming models, and the genetic algorithm with adaptive scale adjustment is designed to solve them. Finally, the real data from the Shanghai Stock Exchange is given to illustrate the advantage of the proposed models and the efficiency of the designed algorithm.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xiao-Lian Meng
AU  - Wan-Rong Shi
PY  - 2018/05
DA  - 2018/05
TI  - Fuzzy Multi-period Portfolio Optimization Problem of Stock Market
BT  - Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)
PB  - Atlantis Press
SP  - 940
EP  - 948
SN  - 2352-5428
UR  - https://doi.org/10.2991/icmesd-18.2018.161
DO  - 10.2991/icmesd-18.2018.161
ID  - Meng2018/05
ER  -