An Artificial Bee Colony Algorithm for Uncertain Portfolio Selection
Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts’ evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | The Scientific World Journal |
| Online Access: | http://dx.doi.org/10.1155/2014/578182 |
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| Summary: | Portfolio selection is an important issue for researchers and practitioners. In this paper, under
the assumption that security returns are given by experts’ evaluations rather than historical data,
we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of
portfolio into consideration. Uncertain variables are employed to describe the security returns. In the
proposed mean-variance-entropy model, the uncertain mean value of the return is used to measure
investment return, the uncertain variance of the return is used to measure investment risk, and the
entropy is used to measure diversification degree of portfolio. In order to solve the proposed model,
a modified artificial bee colony (ABC) algorithm is designed. Finally, a numerical example is given
to illustrate the modelling idea and the effectiveness of the proposed algorithm. |
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| ISSN: | 2356-6140 1537-744X |