Multi‐stage Fuzzy Portfolio Optimization Considering Realistic Constraints

Changkun Hou ； Gangzhen Wang

《World Scientific Research Journal》 8卷6期 (2022/06) Pp. 566-576

https://doi.org/10.6911/WSRJ.202206_8(6).0073

摘要

In this paper, we study a kind of multi‐stage fuzzy portfolio problem with the return rate of assets as the mean of possibility, which is a dynamic linear programming problem for maximizing the final wealth under risk control. Based on the theory of possibility measure, the return, risk, degree of diversification and liquidity of portfolio by means of probability mean, absolute deviation, Yager entropy and average turnover rate respectively, and puts forward a multi‐stage fuzzy portfolio model with risk control, liquidity constraint and Yager entropy constraint. Forward dynamic programming is used to solve dynamic linear programming directly, and the optimal solution of securities portfolio is obtained. Finally, based on the real data of Shanghai Stock Exchange, the behavior of the model and the proposed algorithm are illustrated.

關鍵字

Multi‐stage fuzzy portfolio ； Yager entropy ； Forward dynamic programming ； Liquidity constraint ； Trapezoidal fuzzy number

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