Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs
Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, we discuss a portfolio adjusting problem under the assumption that the returns of risky assets are fuzzy numbers and there ex...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/192868 |
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| _version_ | 1832562293879078912 |
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| author | Wei Chen Hui Ma Yiping Yang Mengrong Sun |
| author_facet | Wei Chen Hui Ma Yiping Yang Mengrong Sun |
| author_sort | Wei Chen |
| collection | DOAJ |
| description | Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, we discuss a portfolio adjusting problem under the assumption that the returns of risky assets are fuzzy numbers and there exist general transaction costs in portfolio adjusting process. In the proposed model, we take the first possibilistic moment about zero of a portfolio as the investment return and the second possibilistic moment about the possibilistic mean value of the portfolio as the investment risk. To solve the proposed model, a modified artificial bee colony (ABC) algorithm is developed for calculating the optimal portfolio adjusting strategy. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and approach. |
| format | Article |
| id | doaj-art-de50b4e6ad944cf8b2dd849b11d857c3 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-de50b4e6ad944cf8b2dd849b11d857c32025-02-03T01:23:01ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/192868192868Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction CostsWei Chen0Hui Ma1Yiping Yang2Mengrong Sun3School of Information, Capital University of Economics and Business, Beijing 100070, ChinaSchool of Information, Capital University of Economics and Business, Beijing 100070, ChinaSchool of Information, Capital University of Economics and Business, Beijing 100070, ChinaSchool of Information, Capital University of Economics and Business, Beijing 100070, ChinaCompared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, we discuss a portfolio adjusting problem under the assumption that the returns of risky assets are fuzzy numbers and there exist general transaction costs in portfolio adjusting process. In the proposed model, we take the first possibilistic moment about zero of a portfolio as the investment return and the second possibilistic moment about the possibilistic mean value of the portfolio as the investment risk. To solve the proposed model, a modified artificial bee colony (ABC) algorithm is developed for calculating the optimal portfolio adjusting strategy. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and approach.http://dx.doi.org/10.1155/2014/192868 |
| spellingShingle | Wei Chen Hui Ma Yiping Yang Mengrong Sun Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs Journal of Applied Mathematics |
| title | Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs |
| title_full | Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs |
| title_fullStr | Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs |
| title_full_unstemmed | Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs |
| title_short | Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs |
| title_sort | application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs |
| url | http://dx.doi.org/10.1155/2014/192868 |
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