Portfolio adjusting optimization under credibility measures

Abstract

This paper discusses portfolio adjusting problems for an existing portfolio. The returns of risky assets are regarded as fuzzy variables and a class of credibilistic mean–variance adjusting models with transaction costs are proposed on the basis of credibility theory. Under the assumption that the returns of risky assets are triangular fuzzy variables, the optimization models are converted into crisp forms. Furthermore, we employ the sequential quadratic programming method to work out the optimal strategy. Numerical examples illustrate the effectiveness of the proposed models and the influence of the transaction costs in portfolio selection.