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Soft Computing

, Volume 23, Issue 24, pp 13309–13320 | Cite as

Random credibilitic portfolio selection problem with different convex transaction costs

  • Peng ZhangEmail author
Methodologies and Application
  • 66 Downloads

Abstract

Most of the portfolio optimization problems are devoted to either stochastic model or fuzzy one. However, practical portfolio selection problems often involve the mixture of the stochastic returns with fuzzy information. In this paper, we propose a new mean variance random credibilitic portfolio selection problem with different convex transaction costs, i.e., linear function, non-smooth convex function, smooth convex function. In this proposed model, we assume that the returns of assets obey the trapezoidal-type credibilitic distributions, and the risks obey the stochastic distributions. Based on the random credibilitic theories, these models are transformed into crisp convex programming problems. To find the optimal solution, we, respectively, present a pivoting algorithm, a branch-and-bound algorithm, and a sequence quadratic programming algorithm to solve these models. Furthermore, we offer numerical experiments of different forms of convex transaction costs to illustrate the effectiveness of the proposed model and approach.

Keywords

Mean variance portfolio optimization model Random credibilitic variable Convex transaction costs A pivoting algorithm Sequence quadratic programming 

Notes

Acknowledgements

This research was supported by the National Natural Science Foundation of China (Nos. 71271161).

Compliance with ethical standards

Conflict of interest

Peng Zhang declares that he/she has no conflict of interest.

Ethical approval

This article does not contain any studies with human participants performed by any of the authors.

Informed consent

Informed consent was obtained from all individual participants included in the study.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.School of Economics and ManagementSouth China Normal UniversityGuangzhouPeople’s Republic of China

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