Journal Search Engine
Search Advanced Search Adode Reader(link)
Download PDF Export Citaion korean bibliography PMC previewer
ISSN : 1598-7248 (Print)
ISSN : 2234-6473 (Online)
Industrial Engineering & Management Systems Vol.17 No.3 pp.464-478
DOI : https://doi.org/10.7232/iems.2018.17.3.464

Credibilitic Multiperiod Mean Semivariance Portfolio Selection with Transaction Costs

Peng Zhang*, Bi-Yu Peng
School of Economics and Management, South China Normal University, Guangzhou. China
* Corresponding Author, E-mail: zhangpeng300478@aliyun.com

Abstract

This paper proposes a credibilitic multiperiod mean-simivariance portfolio selection model with transaction costs, borrowing constraints, threshold constraints and cardinality constraints. In this model, the return rate of asset and the risk are quantified by credibilitic expected value and credibilitic semivariance, respectively. Threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Based on credibilitic theories, the model is transformed into a mix integer dynamic optimization problem with path dependence. The proposed model is approximated to dynamic programming model. A novel discrete iteration method is designed to obtain the optimal portfolio strategy, and is proved linearly convergent. Finally, an example is given to illustrate the behavior of the proposed model and the designed algorithm using real data from the Shanghai Stock Exchange.

초록

 

Figure

Table

오늘하루 팝업창 안보기 닫기