Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
Summary: Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, we discuss a portfolio adjusting problem under the assumption that the returns of risky assets are fuzzy numbers and there exist general transaction costs in portfolio adjusting process. In the proposed model, we take the first possibilistic moment about zero of a portfolio as the investment return and the second possibilistic moment about the possibilistic mean value of the portfolio as the investment risk. To solve the proposed model, a modified artificial bee colony (ABC) algorithm is developed for calculating the optimal portfolio adjusting strategy. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and approach.
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
- Fuzzy model for portfolio selection with transaction cost
- Portfolio adjusting optimization under credibility measures
- Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
- A comparative study of artificial bee colony algorithm
- A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- A possibilistic approach to selecting portfolios with highest utility score
- A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
- A powerful and efficient algorithm for numerical function optimization: artificial bee colony (ABC) algorithm
- An efficient and robust artificial bee colony algorithm for numerical optimization
- Asset portfolio optimization using fuzzy mathematical programming
- Fuzzy portfolio model with different investor risk attitudes
- Fuzzy portfolio optimization under downside risk measures
- Fuzzy portfolio selection problem with different borrowing and lending rates
- Fuzzy sets
- Fuzzy sets as a basis for a theory of possibility
- Fuzzy turnover rate chance constraints portfolio model
- Heuristics for cardinality constrained portfolio optimization
- Neural network-based mean-variance-skewness model for portfolio selection
- On admissible efficient portfolio selection problem
- On possibilistic mean value and variance of fuzzy numbers
- On weighted possibilistic mean and variance of fuzzy numbers
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Particle swarm optimization approach to portfolio optimization
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
- Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
- Portfolio optimization with linear and fixed transaction costs
- Portfolio rebalancing model using multiple criteria
- Portfolio selection and transactions costs
- Portfolio selection under independent possibilistic information
- Portfolio selection using neural networks
- Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm
- Simulated annealing for complex portfolio selection problems.
- The efficient frontier for bounded assets
- The possibilistic moments of fuzzy numbers and their applications
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