Multi-period portfolio selection model with transaction cost

Abstract

In this paper, the possibilistic entropy model is introduced based on mean-semi variance model firstly. Then, the model was expanded to multi-period mean-semi variance possibilistic entropy model with transaction costs, taking the actual transaction costs and multi-period investment into account. Moreover, a numerical example was designed to prove the promotion performance of multi-period mean-semi variance possibilistic entropy model by using the stock data of Shanghai Stock Exchange, as well as carrying out coding and solving for the proposed model by using MATLAB software. The proposed model can provide decision basis and tools for investors. Keywords—multi-period portfolio; mean-semi variance;