A multi-period fuzzy mean-minimax risk portfolio model with investor’s risk attitude

Abstract

This paper deals with a multi-period portfolio selection problem considering investor’s risk attitude in fuzzy environment. We regard the return rate of each risky asset as a fuzzy number and use the expected value and semi-absolute deviation to measure its return and risk, respectively. We adopt an $$l_{\infty }$$ downside risk function to measure the portfolio’s risk, which is represented by the maximum individual risk. Moreover, we formulate a reasonable diversification constraint for the portfolio involving risk-free asset. Then, we propose a multi-period portfolio selection model with the objectives of maximizing the final expected wealth and minimizing the final cumulative risk. Furthermore, we design a multiple particle swarm optimization to solve it. Finally, we illustrate the effectiveness of the model and algorithm by using a real case.