Abstract
Multi-period models of portfolio selection have been developed in the literature with respect to certain assumptions. In this study, for the first time, the portfolio selection problem has been modeled based on mean-semi variance with transaction cost and minimum transaction lots considering functional constraints and fuzzy parameters. Functional constraints such as transaction cost and minimum transaction lots were included. In addition, the returns on assets parameters were considered as trapezoidal fuzzy numbers. An efficient genetic algorithm (GA) was designed, results were analyzed using numerical instances and sensitivity analysis were executed. In the numerical study, the problem was solved based on the presence or absence of each mode of constraints including transaction costs and minimum transaction lots. In addition, with the use of sensitivity analysis, the results of the model were presented with the variations of minimum expected rate of programming periods.
Highlights
The investment portfolio selection problem is one of the classical issues of the financial world which was first introduced by Markowitz (1959)
This paper examined a multi-period model of portfolio selection problem
Eq (4) ensures that in each period, the portfolio expected return is greater than a minimum certain amount; the weight of each asset in each period is equal to the ratio of transaction cost of that asset to the total transaction cost indicated by Eq (5); Eq (6) ensures that in each programming period, the cost of the selected portfolio does not exceed that the available budget in that period; using Eq (7), the transaction cost of each asset is placed between an upper and a lower limit; Eq (8) ensures that exactly k assets in the portfolio are selected; Eq (9) states the relationship between variables xxttttandzztttt; Eq (10), Eq (11) and Eq (12) describe the types of variables
Summary
The investment portfolio selection problem is one of the classical issues of the financial world which was first introduced by Markowitz (1959) This problem includes two main and inseparable components of return and risk aimed at maximizing the expected return at a certain level of risk or minimizing the expected risk at a certain level of return. With respect to portfolio optimization, there are studies on multi-period models, models with fuzzy parameters, and mean semi-variance models, the combination of all these points along with functional constraints, such as transactions cost and minimum transaction lots have never been analyzed in any of the previous research studies
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
