Fuzzy multi-period portfolio selection model with time-varying loss aversion. Issue 4 (14th March 2021)

• Record Type: Journal Article
• Authors: Liu, Yong-Jun; Zhang, Wei-Guo
• Is Part Of: Journal of the Operational Research Society. Volume 72:Issue 4(2021)
• Page Start: 935
• Page End: 949
• Publication Date: 2021-03-14
• Subjects: Fuzzy sets -- multi-period portfolio selection -- mean-semivariance model -- time-varying loss aversion -- ICPSO algorithm; Operations research -- Periodicals; 658.4034
• DOI: 10.1080/01605682.2019.1705191
• Languages: English
• ISSNs: 0160-5682

Abstract

Abstract: This paper deals with multi-period portfolio selection problem in a fuzzy environment, in which the effects of investors' time-varying asymmetric attitudes to losses and gains on portfolio selection are taken into consideration. In the paper, a definition of time-varying loss aversion is presented to describe the aforementioned time-varying asymmetric attitudes to losses and gains. A fuzzy multi-period portfolio selection model based on this new definition of time-varying loss aversion is formulated. Then, an improved co-evolutionary particle swarm optimization (ICPSO) algorithm is designed to solve the proposed model. The comparison analysis between the proposed model and the fixed-parameter loss aversion model is provided to demonstrate the fact that the proposed model can significantly affect the performance of portfolio selection. Finally, a numerical example is given to illustrate the application of the proposed model and the efficiency of the designed algorithm.