PSO-based Possibilistc Mean-Variance Model with Transaction Costs

摘要

In this paper, based on possibilistic mean and variance of fuzzy numbers a portfolio selection rebalancing problem is studied. Considering the importance of transaction costs for rebalancing the portfolio, a possibilistic portfolio model with transaction cost is proposed, in which transaction cost is assumed as a no-convex-no-concave function instead of V-Shaped function. Due to proposed problem is a non-smooth programming problem, an improved particle swarm optimization is designed. At last, a numerical example is given to illustrate our proposed effective approach.