The Optimization on the Multiperiod Mean Average Absolute Deviation Fuzzy Portfolio Selection

摘要

Considering the transaction costs and the constraints on trade volumes, the paper proposes the multiperiod mean average absolute deviation fuzzy portfolio selection model which the fuzzy return rates are denoted as trapezoidal fuzzy numbers and the new algorithm—the discrete approximate iteration method is proposed to solve the model. The algorithm is as follows: According to the network method, discredits the state variables and transforms the model into multiperiod weighted digraph; uses max-plus algebra to solve the maximal path that is the admissible solution; continues iterating until the two admissible solutions based on the admissible solution are very close. At last, the paper proves the linear convergence of the algorithm.