Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs. (16th June 2014)

• Record Type: Journal Article
• Authors: Chen, Wei; Ma, Hui; Yang, Yiping; Sun, Mengrong
• Other Names: Zhang X. Academic Editor.
• Is Part Of: Journal of applied mathematics. Volume 2014(2014)
• Publication Date: 2014-06-16
• Subjects: Mathematics -- Periodicals; 519.05
• DOI: 10.1155/2014/192868
• Languages: English
• ISSNs: 1110-757X

Abstract

Abstract : Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, we discuss a portfolio adjusting problem under the assumption that the returns of risky assets are fuzzy numbers and there exist general transaction costs in portfolio adjusting process. In the proposed model, we take the first possibilistic moment about zero of a portfolio as the investment return and the second possibilistic moment about the possibilistic mean value of the portfolio as the investment risk. To solve the proposed model, a modified artificial bee colony (ABC) algorithm is developed for calculating the optimal portfolio adjusting strategy. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and approach.