Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints

Peng Zhang

doi:10.3934/jimo.2016067

Previous Article
A multi-objective approach for weapon selection and planning problems in dynamic environments
JIMO Home
This Issue
Next Article
Robust real-time optimization for blending operation of alumina production

July 2017, 13(3): 1169-1187. doi: 10.3934/jimo.2016067

Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints

Peng Zhang ^,

School of Economics, Wuhan University of Technology, Wuhan 430070, China

* Corresponding author: Peng Zhang

Received February 2015 Published October 2016

Fund Project: This research was supported by the National Natural Science Foundation of China (nos. 71271161)

In this paper, we discuss the uncertain portfolio selection problem where the asset returns are represented by interval data. Since the parameters are interval values, the gain of returns is interval value as well. A new multiperiod mean semi-absolute deviation interval portfolio selection model with the transaction costs, borrowing constraints, threshold constraints and diversification degree of portfolio has been proposed, where the return and risk are characterized by the interval mean and interval semi-absolute deviation of return, respectively. The diversification degree of portfolio is measured by the presented possibilistic entropy. Threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Based on interval theories, the model is converted to a dynamic optimization problem. Because of the transaction costs, the model is a dynamic optimization problem with path dependence. The discrete approximate iteration method is designed to obtain the optimal portfolio strategy. Finally, the comparison analysis of differently desired number of assets and different preference coefficients are provided by numerical examples to illustrate the efficiency of the proposed approach and the designed algorithm.

Keywords: Multiperiod portfolio selection, mean semi-absolute deviation, entropy constraints, interval numbers, the discrete approximate iteration method.

Mathematics Subject Classification: Primary: 58F15, 58F17; Secondary: 53C35.

Citation: Peng Zhang. Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints. Journal of Industrial & Management Optimization, 2017, 13 (3) : 1169-1187. doi: 10.3934/jimo.2016067

References:

[1]	G. Alefeld and G. Mayer, Interval analysis: theory and applications, Journal of Computational and Applied Mathematics, 121 (2000), 421-464. doi: 10.1016/S0377-0427(00)00342-3. Google Scholar
[2]	R. D. Arnott and W. H. Wagner, The measurement and control of trading costs, Financial Analysts Journal, 46 (1990), 73-80. doi: 10.2469/faj.v46.n6.73. Google Scholar
[3]	D. Bertsimas and D. Pachamanova, Robust multiperiod portfolio management in the presence of transaction costs, Computers and Operations Research, 35 (2008), 3-17. doi: 10.1016/j.cor.2006.02.011. Google Scholar
[4]	R. Bhattacharyya, S. Kar and D. Majumder, Majumder, Fuzzymean-variance-skewness portfolio selection models by interval analysis, Computers & Mathematics with Applications, 61 (2011), 126-137. doi: 10.1016/j.camwa.2010.10.039. Google Scholar
[5]	G. C. Calafiore, Multi-period portfolio optimization with linear control policies, Automatica, 44 (2008), 2463-2473. doi: 10.1016/j.automatica.2008.02.007. Google Scholar
[6]	C. Carlsson and R. Fullér, On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems, 122 (2001), 315-326. doi: 10.1016/S0165-0114(00)00043-9. Google Scholar
[7]	C. Carlsson, R. Fulleér and P. Majlender, A possibilistic approach to selecting portfolios with highest utility score, Fuzzy Sets and Systems, 131 (2002), 13-21. doi: 10.1016/S0165-0114(01)00251-2. Google Scholar
[8]	U. Çlikyurt and S. Öekici, Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach, European Journal of Operational Research, 179 (2007), 186-202. Google Scholar
[9]	X. Deng and R. J. Li, A portfolio selection model with borrowing constraint based on possibility theory, Applied Soft Computing, 12 (2012), 754-758. doi: 10.1016/j.asoc.2011.10.017. Google Scholar
[10]	D. Dubois and H. Prade, Possibility Theory, Plenum Perss, New York, 1988. doi: 10.1007/978-1-4684-5287-7. Google Scholar
[11]	Y. Fang, K. K. Lai and S. Y. Wang, Portfolio rebalancing model with transaction costs based on fuzzy decision theory, European Journal of Operational Research, 175 (2006), 879-893. Google Scholar
[12]	S. C. Fang and S. Puthenpura, Linear Optimization and Extensions: Theory and Algorithms, Prentice-Hall Inc, 1993.Google Scholar
[13]	C. D. Feinstein and M. N. Thapa, Notes: A reformation of a mean-absolute deviation portfolio optimization, Management Science, 39 (1993), 1552-1558. Google Scholar
[14]	S. Giove and S. Funari, Nardelli, An interval portfolio selection problems based on regret function, European Journal of Operational Research, 170 (2006), 253-264. Google Scholar
[15]	N. Güpinar and B. Rustem, Worst-case robust decisions for multi-period mean-variance portfolio optimization, European Journal of Operational Research, 183 (2007), 981-1000. doi: 10.1016/j.ejor.2006.02.046. Google Scholar
[16]	N. Güpinar, B. Rustem and R. Settergren, Multistage stochastic mean-variance portfolio analysis with transaction cost, Innovations, in Financial and Economic Networks, 3 (2003), 46-63. Google Scholar
[17]	B. Heidergott, G. J. Olsder and J. V. Woude, Max Plus at Work Modeling and Analysis of Press, synchronized systems: a course on max-plus algebra and its applications, Princeton University, 2006. Google Scholar
[18]	B. Hu and S. Wang, A novel approach in uncertain programming Part 1: New arithmetic and order relation for interval numbers, Journal of Industrial and Management Optimization, 2 (2006), 351-371. doi: 10.3934/jimo.2006.2.351. Google Scholar
[19]	X. Huang, Risk curve and fuzzy portfolio selection, Computers and Mathematics with Applications, 55 (2008), 1102-1112. doi: 10.1016/j.camwa.2007.06.019. Google Scholar
[20]	H. Ishibuchi and H. Tanaka, Multiobjective programming in optimization of the interval objective function, European Journal of Operational Research, 48 (1990), 219-225. Google Scholar
[21]	P. Jana, T. K. Roy and S. K. Mazumder, Multi-objective possibilistic model for portfolio selection with transaction cost, Journal of Computational and Applied Mathematics, 228 (2009), 188-196. doi: 10.1016/j.cam.2008.09.008. Google Scholar
[22]	J. N. Kapur, Maximum Entropy Models in Science and Engineering, John Wiley & Sons, Inc. , New York, 1989. Google Scholar
[23]	H. Konno and H. Yamazaki, Mean-absolute Deviation Portfolio Optimization model and its applications to Tokyo stock market, Management Science, 37 (1991), 519-531. Google Scholar
[24]	K. K. Lai, S. Y. Wang, J. P. Xu, S. S. Zhu and Y. Fang, A class of linear interval programming problems and its application to portfolio selection, IEEE Transactions on Fuzzy Systems, 10 (2002), 698-704. doi: 10.1109/TFUZZ.2002.805902. Google Scholar
[25]	T. León, V. Liem and E. Vercher, Viability of infeasible portfolio selection problems: A fuzzy approach, European Journal of Operational Research, 139 (2002), 178-189. Google Scholar
[26]	C. J. Li and Z. F. Li, Multi-period portfolio optimization for asset-liability management with bankrupt control, Applied Mathematics and Computation, 218 (2012), 11196-11208. doi: 10.1016/j.amc.2012.05.010. Google Scholar
[27]	X. Li, Z. Qin and S. Kar, Mean-variance-skewness model for portfolio selection with fuzzy returns, European Journal of operational Research, 202 (2010), 239-247. doi: 10.1016/j.ejor.2009.05.003. Google Scholar
[28]	J. Li and J. P. Xu, A class of possibilistic portfolio selection model with interval coefficients and its application, Fuzzy Optimization Decision Making, 6 (2007), 123-137. doi: 10.1007/s10700-007-9005-y. Google Scholar
[29]	S. T. Liu, The mean-absolute deviation portfolio selection problem with interval valued returns, Journal of Computational and Applied Mathematics, 235 (2011), 4149-4157. doi: 10.1016/j.cam.2011.03.008. Google Scholar
[30]	Y. J. Liu, W. G. Zhang and W. J. Xu, Fuzzy multi-period portfolio selection optimization models using multiple criteria, Automatica, 48 (2012), 3042-3053. doi: 10.1016/j.automatica.2012.08.036. Google Scholar
[31]	Y. J. Liu, W. G. Zhang and P. Zhang, A multi-period portfolio selection optimization model by using interval analysis, Economic Modelling, 33 (2013), 113-119. doi: 10.1016/j.econmod.2013.03.006. Google Scholar
[32]	H. M. Markowitz, Portfolio selection, Journal of Finance, 7 (1952), 77-91. doi: 10.1111/j.1540-6261.1952.tb01525.x. Google Scholar
[33]	R. Moore, Interval Analysis: Prentice Hall, New York: Englewood Cliffs, 1966. Google Scholar
[34]	S. J. Sadjadi, S. M. Seyedhosseini and Kh. Hassanlou, Fuzzy multi period portfolio selection with different rates for borrowing and Lending, Applied Soft Computing, 11 (2011), 3821-3826. doi: 10.1016/j.asoc.2011.02.015. Google Scholar
[35]	M. G. Speranza, Linear programming models for portfolio optimization, The Journal of Finance, 14 (1993), 107-123. Google Scholar
[36]	E. Vercher, J. Bermudez and J. Segura, Fuzzy portfolio optimization under downside risk measures, Fuzzy Sets and Systems, 158 (2007), 769-782. doi: 10.1016/j.fss.2006.10.026. Google Scholar
[37]	M. Wu, D. Kong, J. Xu and N. Huang, On interval portfolio selection problem, Fuzzy Optimization and Decision Making, 12 (2013), 289-304. doi: 10.1007/s10700-013-9155-z. Google Scholar
[38]	H. L. Wu and Z. F. Li, Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow, Insurance: Mathematics and Economics, 50 (2012), 371-384. doi: 10.1016/j.insmatheco.2012.01.003. Google Scholar
[39]	W. Yan and S. Li, A class of multi-period semi-variance portfolio selection with a four-factor futures price model, Journal of Applied Mathematics and Computing, 29 (2009), 19-34. doi: 10.1007/s12190-008-0086-8. Google Scholar
[40]	W. Yan, R. Miao and S. R. Li, Multi-period semi-variance portfolio selection: Model and numerical solution, Applied Mathematics and Computation, 194 (2007), 128-134. doi: 10.1016/j.amc.2007.04.036. Google Scholar
[41]	A. Yoshimoto, The mean-variance approach to portfolio optimization subject to transaction costs, Journal of the Operational Research Society of Japan, 39 (1996), 99-117. Google Scholar
[42]	M. Yu, S. Takahashi, H. Inoue and S. Y. Wang, Dynamic portfolio optimization with risk control for absolute deviation model, European Journal of Operational Research, 201 (2010), 349-364. doi: 10.1016/j.ejor.2009.03.009. Google Scholar
[43]	M. Yu and S. Y. Wang, Dynamic optimal portfolio with maximum absolute deviation model, Journal of Global Optimization, 53 (2012), 363-380. doi: 10.1007/s10898-012-9887-2. Google Scholar
[44]	L. A. Zadeh, Fuzzy sets, Information and Control, 8 (1965), 338-353. doi: 10.1016/S0019-9958(65)90241-X. Google Scholar
[45]	W. G. Zhang, Y. J. Liu and W. J. Xu, A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs, European Journal of Operational Research, 222 (2012), 41-349. doi: 10.1016/j.ejor.2012.04.023. Google Scholar
[46]	W. G. Zhang, Y. L. Wang, Z. P. Nie and Z. K. Chen, Possibilistic mean-variance models and efficient frontiers for portfolio selection problem, Information Sciences, 177 (2007), 2787-2801. doi: 10.1016/j.ins.2007.01.030. Google Scholar
[47]	W. G. Zhang, X. L. Zhang and W. L. Xiao, Portfolio selection under possibilistic mean-variance utility and a SMO algorithm, European Journal of Operational Research, 197 (2009), 693-700. doi: 10.1016/j.ejor.2008.07.011. Google Scholar
[48]	W. G. Zhang, Y. J. Liu and W. J. Xu, A new fuzzy programming approach for multi-period portfolio Optimization with return demand and risk control, Fuzzy Sets and Systems, 246 (2014), 107-126. doi: 10.1016/j.fss.2013.09.002. Google Scholar
[49]	P. Zhang and W. G. Zhang, Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints, Fuzzy Sets and Systems, 255 (2014), 74-91. doi: 10.1016/j.fss.2014.07.018. Google Scholar

show all references

References:

[1]	G. Alefeld and G. Mayer, Interval analysis: theory and applications, Journal of Computational and Applied Mathematics, 121 (2000), 421-464. doi: 10.1016/S0377-0427(00)00342-3. Google Scholar
[2]	R. D. Arnott and W. H. Wagner, The measurement and control of trading costs, Financial Analysts Journal, 46 (1990), 73-80. doi: 10.2469/faj.v46.n6.73. Google Scholar
[3]	D. Bertsimas and D. Pachamanova, Robust multiperiod portfolio management in the presence of transaction costs, Computers and Operations Research, 35 (2008), 3-17. doi: 10.1016/j.cor.2006.02.011. Google Scholar
[4]	R. Bhattacharyya, S. Kar and D. Majumder, Majumder, Fuzzymean-variance-skewness portfolio selection models by interval analysis, Computers & Mathematics with Applications, 61 (2011), 126-137. doi: 10.1016/j.camwa.2010.10.039. Google Scholar
[5]	G. C. Calafiore, Multi-period portfolio optimization with linear control policies, Automatica, 44 (2008), 2463-2473. doi: 10.1016/j.automatica.2008.02.007. Google Scholar
[6]	C. Carlsson and R. Fullér, On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems, 122 (2001), 315-326. doi: 10.1016/S0165-0114(00)00043-9. Google Scholar
[7]	C. Carlsson, R. Fulleér and P. Majlender, A possibilistic approach to selecting portfolios with highest utility score, Fuzzy Sets and Systems, 131 (2002), 13-21. doi: 10.1016/S0165-0114(01)00251-2. Google Scholar
[8]	U. Çlikyurt and S. Öekici, Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach, European Journal of Operational Research, 179 (2007), 186-202. Google Scholar
[9]	X. Deng and R. J. Li, A portfolio selection model with borrowing constraint based on possibility theory, Applied Soft Computing, 12 (2012), 754-758. doi: 10.1016/j.asoc.2011.10.017. Google Scholar
[10]	D. Dubois and H. Prade, Possibility Theory, Plenum Perss, New York, 1988. doi: 10.1007/978-1-4684-5287-7. Google Scholar
[11]	Y. Fang, K. K. Lai and S. Y. Wang, Portfolio rebalancing model with transaction costs based on fuzzy decision theory, European Journal of Operational Research, 175 (2006), 879-893. Google Scholar
[12]	S. C. Fang and S. Puthenpura, Linear Optimization and Extensions: Theory and Algorithms, Prentice-Hall Inc, 1993.Google Scholar
[13]	C. D. Feinstein and M. N. Thapa, Notes: A reformation of a mean-absolute deviation portfolio optimization, Management Science, 39 (1993), 1552-1558. Google Scholar
[14]	S. Giove and S. Funari, Nardelli, An interval portfolio selection problems based on regret function, European Journal of Operational Research, 170 (2006), 253-264. Google Scholar
[15]	N. Güpinar and B. Rustem, Worst-case robust decisions for multi-period mean-variance portfolio optimization, European Journal of Operational Research, 183 (2007), 981-1000. doi: 10.1016/j.ejor.2006.02.046. Google Scholar
[16]	N. Güpinar, B. Rustem and R. Settergren, Multistage stochastic mean-variance portfolio analysis with transaction cost, Innovations, in Financial and Economic Networks, 3 (2003), 46-63. Google Scholar
[17]	B. Heidergott, G. J. Olsder and J. V. Woude, Max Plus at Work Modeling and Analysis of Press, synchronized systems: a course on max-plus algebra and its applications, Princeton University, 2006. Google Scholar
[18]	B. Hu and S. Wang, A novel approach in uncertain programming Part 1: New arithmetic and order relation for interval numbers, Journal of Industrial and Management Optimization, 2 (2006), 351-371. doi: 10.3934/jimo.2006.2.351. Google Scholar
[19]	X. Huang, Risk curve and fuzzy portfolio selection, Computers and Mathematics with Applications, 55 (2008), 1102-1112. doi: 10.1016/j.camwa.2007.06.019. Google Scholar
[20]	H. Ishibuchi and H. Tanaka, Multiobjective programming in optimization of the interval objective function, European Journal of Operational Research, 48 (1990), 219-225. Google Scholar
[21]	P. Jana, T. K. Roy and S. K. Mazumder, Multi-objective possibilistic model for portfolio selection with transaction cost, Journal of Computational and Applied Mathematics, 228 (2009), 188-196. doi: 10.1016/j.cam.2008.09.008. Google Scholar
[22]	J. N. Kapur, Maximum Entropy Models in Science and Engineering, John Wiley & Sons, Inc. , New York, 1989. Google Scholar
[23]	H. Konno and H. Yamazaki, Mean-absolute Deviation Portfolio Optimization model and its applications to Tokyo stock market, Management Science, 37 (1991), 519-531. Google Scholar
[24]	K. K. Lai, S. Y. Wang, J. P. Xu, S. S. Zhu and Y. Fang, A class of linear interval programming problems and its application to portfolio selection, IEEE Transactions on Fuzzy Systems, 10 (2002), 698-704. doi: 10.1109/TFUZZ.2002.805902. Google Scholar
[25]	T. León, V. Liem and E. Vercher, Viability of infeasible portfolio selection problems: A fuzzy approach, European Journal of Operational Research, 139 (2002), 178-189. Google Scholar
[26]	C. J. Li and Z. F. Li, Multi-period portfolio optimization for asset-liability management with bankrupt control, Applied Mathematics and Computation, 218 (2012), 11196-11208. doi: 10.1016/j.amc.2012.05.010. Google Scholar
[27]	X. Li, Z. Qin and S. Kar, Mean-variance-skewness model for portfolio selection with fuzzy returns, European Journal of operational Research, 202 (2010), 239-247. doi: 10.1016/j.ejor.2009.05.003. Google Scholar
[28]	J. Li and J. P. Xu, A class of possibilistic portfolio selection model with interval coefficients and its application, Fuzzy Optimization Decision Making, 6 (2007), 123-137. doi: 10.1007/s10700-007-9005-y. Google Scholar
[29]	S. T. Liu, The mean-absolute deviation portfolio selection problem with interval valued returns, Journal of Computational and Applied Mathematics, 235 (2011), 4149-4157. doi: 10.1016/j.cam.2011.03.008. Google Scholar
[30]	Y. J. Liu, W. G. Zhang and W. J. Xu, Fuzzy multi-period portfolio selection optimization models using multiple criteria, Automatica, 48 (2012), 3042-3053. doi: 10.1016/j.automatica.2012.08.036. Google Scholar
[31]	Y. J. Liu, W. G. Zhang and P. Zhang, A multi-period portfolio selection optimization model by using interval analysis, Economic Modelling, 33 (2013), 113-119. doi: 10.1016/j.econmod.2013.03.006. Google Scholar
[32]	H. M. Markowitz, Portfolio selection, Journal of Finance, 7 (1952), 77-91. doi: 10.1111/j.1540-6261.1952.tb01525.x. Google Scholar
[33]	R. Moore, Interval Analysis: Prentice Hall, New York: Englewood Cliffs, 1966. Google Scholar
[34]	S. J. Sadjadi, S. M. Seyedhosseini and Kh. Hassanlou, Fuzzy multi period portfolio selection with different rates for borrowing and Lending, Applied Soft Computing, 11 (2011), 3821-3826. doi: 10.1016/j.asoc.2011.02.015. Google Scholar
[35]	M. G. Speranza, Linear programming models for portfolio optimization, The Journal of Finance, 14 (1993), 107-123. Google Scholar
[36]	E. Vercher, J. Bermudez and J. Segura, Fuzzy portfolio optimization under downside risk measures, Fuzzy Sets and Systems, 158 (2007), 769-782. doi: 10.1016/j.fss.2006.10.026. Google Scholar
[37]	M. Wu, D. Kong, J. Xu and N. Huang, On interval portfolio selection problem, Fuzzy Optimization and Decision Making, 12 (2013), 289-304. doi: 10.1007/s10700-013-9155-z. Google Scholar
[38]	H. L. Wu and Z. F. Li, Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow, Insurance: Mathematics and Economics, 50 (2012), 371-384. doi: 10.1016/j.insmatheco.2012.01.003. Google Scholar
[39]	W. Yan and S. Li, A class of multi-period semi-variance portfolio selection with a four-factor futures price model, Journal of Applied Mathematics and Computing, 29 (2009), 19-34. doi: 10.1007/s12190-008-0086-8. Google Scholar
[40]	W. Yan, R. Miao and S. R. Li, Multi-period semi-variance portfolio selection: Model and numerical solution, Applied Mathematics and Computation, 194 (2007), 128-134. doi: 10.1016/j.amc.2007.04.036. Google Scholar
[41]	A. Yoshimoto, The mean-variance approach to portfolio optimization subject to transaction costs, Journal of the Operational Research Society of Japan, 39 (1996), 99-117. Google Scholar
[42]	M. Yu, S. Takahashi, H. Inoue and S. Y. Wang, Dynamic portfolio optimization with risk control for absolute deviation model, European Journal of Operational Research, 201 (2010), 349-364. doi: 10.1016/j.ejor.2009.03.009. Google Scholar
[43]	M. Yu and S. Y. Wang, Dynamic optimal portfolio with maximum absolute deviation model, Journal of Global Optimization, 53 (2012), 363-380. doi: 10.1007/s10898-012-9887-2. Google Scholar
[44]	L. A. Zadeh, Fuzzy sets, Information and Control, 8 (1965), 338-353. doi: 10.1016/S0019-9958(65)90241-X. Google Scholar
[45]	W. G. Zhang, Y. J. Liu and W. J. Xu, A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs, European Journal of Operational Research, 222 (2012), 41-349. doi: 10.1016/j.ejor.2012.04.023. Google Scholar
[46]	W. G. Zhang, Y. L. Wang, Z. P. Nie and Z. K. Chen, Possibilistic mean-variance models and efficient frontiers for portfolio selection problem, Information Sciences, 177 (2007), 2787-2801. doi: 10.1016/j.ins.2007.01.030. Google Scholar
[47]	W. G. Zhang, X. L. Zhang and W. L. Xiao, Portfolio selection under possibilistic mean-variance utility and a SMO algorithm, European Journal of Operational Research, 197 (2009), 693-700. doi: 10.1016/j.ejor.2008.07.011. Google Scholar
[48]	W. G. Zhang, Y. J. Liu and W. J. Xu, A new fuzzy programming approach for multi-period portfolio Optimization with return demand and risk control, Fuzzy Sets and Systems, 246 (2014), 107-126. doi: 10.1016/j.fss.2013.09.002. Google Scholar
[49]	P. Zhang and W. G. Zhang, Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints, Fuzzy Sets and Systems, 255 (2014), 74-91. doi: 10.1016/j.fss.2014.07.018. Google Scholar

Figure 1. The multiperiod weighted digraph

Figure Options

Download full-size image

Download as PowerPoint slide

Table 1. The optimal solution when $\theta=0.5,H_t=0.4$

	The optimal investment proportions
1	Asset 1	Asset 13	Asset 15	Asset 17	Asset 28	otherwise 0
	0.3	0.3	0.3	0.3	0.3
2	Asset 1	Asset 13	Asset 15	Asset 17	Asset 28	otherwise 0
	0.3	0.3	0.3	0.3	0.3
3	Asset 1	Asset 13	Asset 15	Asset 17	Asset 28	otherwise 0
	0.3	0.3	0.3	0.3	0.3
4	Asset 1	Asset 12	Asset 13	Asset 15	Asset 17	otherwise 0
	0.3	0.3	0.3	0.3	0.3
5	Asset 1	Asset 12	Asset 13	Asset 15	Asset 17	otherwise 0
	0.3	0.3	0.3	0.3	0.3

Table Options

Download as excel

	The optimal investment proportions
1	Asset 1	Asset 13	Asset 15	Asset 17	Asset 28	otherwise 0
	0.3	0.3	0.3	0.3	0.3
2	Asset 1	Asset 13	Asset 15	Asset 17	Asset 28	otherwise 0
	0.3	0.3	0.3	0.3	0.3
3	Asset 1	Asset 13	Asset 15	Asset 17	Asset 28	otherwise 0
	0.3	0.3	0.3	0.3	0.3
4	Asset 1	Asset 12	Asset 13	Asset 15	Asset 17	otherwise 0
	0.3	0.3	0.3	0.3	0.3
5	Asset 1	Asset 12	Asset 13	Asset 15	Asset 17	otherwise 0
	0.3	0.3	0.3	0.3	0.3

Table 2. the optimal terminal wealth when $\theta=0.5, H_t =0,0.2,...,4.4$

$H_t$	0	0.2	0.4	0.6	0.8	1	1.2	1.4	1.6	1.8
$W_6$	1.085	1.9366	2.1792	2.1792	2.1792	2.1792	2.1792	2.1792	2.1792	2.1792
$H_t$	2	2.2	2.4	2.6	2.8	3	3.2	3.4	3.6	3.8
$W_6$	2.1760	2.1713	2.1645	2.1557	2.1446	2.1309	2.1148	2.0958	2.0728	2.0438
$H_t$	4	4.2	4.4
$W_6$	2.0022	1.9447	1.6974

Table Options

Download as excel

$H_t$	0	0.2	0.4	0.6	0.8	1	1.2	1.4	1.6	1.8
$W_6$	1.085	1.9366	2.1792	2.1792	2.1792	2.1792	2.1792	2.1792	2.1792	2.1792
$H_t$	2	2.2	2.4	2.6	2.8	3	3.2	3.4	3.6	3.8
$W_6$	2.1760	2.1713	2.1645	2.1557	2.1446	2.1309	2.1148	2.0958	2.0728	2.0438
$H_t$	4	4.2	4.4
$W_6$	2.0022	1.9447	1.6974

Table 3. the optimal terminal wealth when $H_t=0.5,\theta=0,0.1,...,1$

$\theta$	0	0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9
$W_6$	2.1832	2.1832	2.1829	2.1792	2.1792	2.1792	2.1792	2.1660	2.1515	2.0674
$\theta$	1
$W_6$	1.1368

Table Options

Download as excel

$\theta$	0	0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9
$W_6$	2.1832	2.1832	2.1829	2.1792	2.1792	2.1792	2.1792	2.1660	2.1515	2.0674
$\theta$	1
$W_6$	1.1368

Table 4. The fuzzy return rates on assets of five periods investment

	Asset 1	Asset 2	Asset 3	Asset 4	Asset 5	Asset 6
1	0.1300 0.1559	0.0556 0.0943	0.0921 0.1244	0.1044 0.1299	0.0611 0.0991	0.0899 0.1229
2	0.1339 0.1559	0.0603 0.1022	0.0925 0.1244	0.1106 0.1299	0.0702 0.0991	0.0916 0.1229
3	0.1357	0.1559	0.0645 0.1069	0.1034 0.1244	0.1210 0.1299	0.0809 0.0991
4	0.1449 0.1582	0.0742 0.1117	0.1059 0.1244	0.1249 0.1299	0.0820 0.0991	0.0952 0.1229
5	0.1480 0.1583	0.0943 0.1163	0.1099 0.1244	0.1250 0.1327	0.0860 0.0991	0.1029 0.1229

Table Options

Download as excel

	Asset 1	Asset 2	Asset 3	Asset 4	Asset 5	Asset 6
1	0.1300 0.1559	0.0556 0.0943	0.0921 0.1244	0.1044 0.1299	0.0611 0.0991	0.0899 0.1229
2	0.1339 0.1559	0.0603 0.1022	0.0925 0.1244	0.1106 0.1299	0.0702 0.0991	0.0916 0.1229
3	0.1357	0.1559	0.0645 0.1069	0.1034 0.1244	0.1210 0.1299	0.0809 0.0991
4	0.1449 0.1582	0.0742 0.1117	0.1059 0.1244	0.1249 0.1299	0.0820 0.0991	0.0952 0.1229
5	0.1480 0.1583	0.0943 0.1163	0.1099 0.1244	0.1250 0.1327	0.0860 0.0991	0.1029 0.1229

Table 5. The fuzzy return rates on assets of five periods investment

	Asset 7	Asset 8	Asset 9	Asset 10	Asset 11	Asset 12
1	0.0675 0.0920	0.0981 0.1495	0.0513 0.0765	0.0310 0.0443	0.0510 0.0639	0.1048 0.1438
2	0.0728 0.1085	0.1022 0.1495	0.0714 0.0866	0.0345 0.0475	0.0534 0.0650	0.1101 0.1504
3	0.0863 0.1120	0.1058 0.1495	0.0765 0.0870	0.0440 0.0497	0.0556 0.0781	0.1253 0.1506
4	0.0887 0.1171	0.1271 0.1495	0.0813 0.0908	0.0442 0.0518	0.0636 0.0811	0.1404 0.1577
5	0.0920 0.1217	0.1385 0.1528	0.0846 0.0921	0.0443 0.0540	0.0639 0.0842	0.1438 0.1641

Table Options

Download as excel

	Asset 7	Asset 8	Asset 9	Asset 10	Asset 11	Asset 12
1	0.0675 0.0920	0.0981 0.1495	0.0513 0.0765	0.0310 0.0443	0.0510 0.0639	0.1048 0.1438
2	0.0728 0.1085	0.1022 0.1495	0.0714 0.0866	0.0345 0.0475	0.0534 0.0650	0.1101 0.1504
3	0.0863 0.1120	0.1058 0.1495	0.0765 0.0870	0.0440 0.0497	0.0556 0.0781	0.1253 0.1506
4	0.0887 0.1171	0.1271 0.1495	0.0813 0.0908	0.0442 0.0518	0.0636 0.0811	0.1404 0.1577
5	0.0920 0.1217	0.1385 0.1528	0.0846 0.0921	0.0443 0.0540	0.0639 0.0842	0.1438 0.1641

Table 6. The fuzzy return rates on assets of five periods investment

	Asset 13	Asset 14	Asset 15	Asset 16	Asset 17	Asset 18
1	0.1778 0.2319	0.0508 0.0746	0.1422 0.1550	0.0403 0.0833	0.1232 0.1621	0.0648 0.1183
2	0.1885 0.2319	0.0588 0.0746	0.1485 0.1550	0.0417 0.0833	0.1479 0.1621	0.0740 0.1625
3	0.2068 0.2319	0.0653 0.0746	0.1504 0.1571	0.0443 0.0868	0.1485 0.1621	0.0748 0.1949
4	0.2131 0.2319	0.0685 0.0746	0.1505 0.1624	0.0473 0.1020	0.1529 0.1621	0.0889 0.2044
5	0.2156 0.2319	0.0716 0.0746	0.1519 0.1680	0.0606 0.1064	0.1531 0.1626	0.1183 0.2144

Table Options

Download as excel

	Asset 13	Asset 14	Asset 15	Asset 16	Asset 17	Asset 18
1	0.1778 0.2319	0.0508 0.0746	0.1422 0.1550	0.0403 0.0833	0.1232 0.1621	0.0648 0.1183
2	0.1885 0.2319	0.0588 0.0746	0.1485 0.1550	0.0417 0.0833	0.1479 0.1621	0.0740 0.1625
3	0.2068 0.2319	0.0653 0.0746	0.1504 0.1571	0.0443 0.0868	0.1485 0.1621	0.0748 0.1949
4	0.2131 0.2319	0.0685 0.0746	0.1505 0.1624	0.0473 0.1020	0.1529 0.1621	0.0889 0.2044
5	0.2156 0.2319	0.0716 0.0746	0.1519 0.1680	0.0606 0.1064	0.1531 0.1626	0.1183 0.2144

Table 7. The fuzzy return rates on assets of five periods investment

	Asset 19	Asset 20	Asset 21	Asset 22	Asset 23	Asset 24
1	0.0760 0.1000	0.1100 0.1284	0.0519 0.0833	0.1075 0.1205	0.0123 0.0439	0.0805 0.1082
2	0.0832 0.1000	0.1150 0.1284	0.0524 0.0884	0.1134 0.1205	0.0151 0.0756	0.0811 0.1082
3	0.0856 0.1000	0.1152 0.1284	0.0752 0.0923	0.1162 0.1238	0.0221 0.0840	0.0886 0.1082
4	0.0880 0.1000	0.1200 0.1285	0.0798 0.0961	0.1197 0.1272	0.0231 0.0916	0.0928 0.1082
5	0.0903 0.1000	0.1217 0.1320	0.0833 0.1001	0.1201 0.1307	0.0439 0.0996	0.0959 0.1082

Table Options

Download as excel

	Asset 19	Asset 20	Asset 21	Asset 22	Asset 23	Asset 24
1	0.0760 0.1000	0.1100 0.1284	0.0519 0.0833	0.1075 0.1205	0.0123 0.0439	0.0805 0.1082
2	0.0832 0.1000	0.1150 0.1284	0.0524 0.0884	0.1134 0.1205	0.0151 0.0756	0.0811 0.1082
3	0.0856 0.1000	0.1152 0.1284	0.0752 0.0923	0.1162 0.1238	0.0221 0.0840	0.0886 0.1082
4	0.0880 0.1000	0.1200 0.1285	0.0798 0.0961	0.1197 0.1272	0.0231 0.0916	0.0928 0.1082
5	0.0903 0.1000	0.1217 0.1320	0.0833 0.1001	0.1201 0.1307	0.0439 0.0996	0.0959 0.1082

Table 8. The fuzzy return rates on assets of five periods investment

	Asset 25	Asset 26	Asset 27	Asset 28	Asset 29	Asset 30
1	0.0921 0.1100	0.1054 0.1440	0.0282 0.0455	0.1291 0.1388	0.1026 0.1201	0.0928 0.1101
2	0.0941 0.1100	0.1111 0.1440	0.0368 0.0508	0.1303 0.1460	0.1045 0.1201	0.0972 0.1101
3	0.0974 0.1100	0.1217 0.1440	0.0390 0.0622	0.1324 0.1465	0.1066 0.1201	0.0995 0.1101
4	0.0976 0.1112	0.1377 0.1487	0.0412 0.0712	0.1345 0.1507	0.1113 0.1201	0.1019 0.1101
5	0.1036 0.1144	0.1400 0.1490	0.0455 0.0783	0.1388 0.1552	0.1133 0.1217	0.1021 0.1101

Table Options

Download as excel

	Asset 25	Asset 26	Asset 27	Asset 28	Asset 29	Asset 30
1	0.0921 0.1100	0.1054 0.1440	0.0282 0.0455	0.1291 0.1388	0.1026 0.1201	0.0928 0.1101
2	0.0941 0.1100	0.1111 0.1440	0.0368 0.0508	0.1303 0.1460	0.1045 0.1201	0.0972 0.1101
3	0.0974 0.1100	0.1217 0.1440	0.0390 0.0622	0.1324 0.1465	0.1066 0.1201	0.0995 0.1101
4	0.0976 0.1112	0.1377 0.1487	0.0412 0.0712	0.1345 0.1507	0.1113 0.1201	0.1019 0.1101
5	0.1036 0.1144	0.1400 0.1490	0.0455 0.0783	0.1388 0.1552	0.1133 0.1217	0.1021 0.1101

[1]	Peng Zhang. Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection. Journal of Industrial & Management Optimization, 2019, 15 (2) : 537-564. doi: 10.3934/jimo.2018056
[2]	Zhifeng Dai, Huan Zhu, Fenghua Wen. Two nonparametric approaches to mean absolute deviation portfolio selection model. Journal of Industrial & Management Optimization, 2017, 13 (5) : 1-21. doi: 10.3934/jimo.2019054
[3]	Ping Chen, Haixiang Yao. Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching. Journal of Industrial & Management Optimization, 2017, 13 (5) : 1-21. doi: 10.3934/jimo.2018166
[4]	Xianping Wu, Xun Li, Zhongfei Li. A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints. Journal of Industrial & Management Optimization, 2018, 14 (1) : 249-265. doi: 10.3934/jimo.2017045
[5]	Ning Zhang. A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems. Journal of Industrial & Management Optimization, 2017, 13 (5) : 1-18. doi: 10.3934/jimo.2018189
[6]	Xueting Cui, Xiaoling Sun, Dan Sha. An empirical study on discrete optimization models for portfolio selection. Journal of Industrial & Management Optimization, 2009, 5 (1) : 33-46. doi: 10.3934/jimo.2009.5.33
[7]	Yan Zeng, Zhongfei Li, Jingjun Liu. Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers. Journal of Industrial & Management Optimization, 2010, 6 (3) : 483-496. doi: 10.3934/jimo.2010.6.483
[8]	Zhilin Kang, Xingyi Li, Zhongfei Li. Mean-CVaR portfolio selection model with ambiguity in distribution and attitude. Journal of Industrial & Management Optimization, 2017, 13 (5) : 1-17. doi: 10.3934/jimo.2019094
[9]	Zhen Wang, Sanyang Liu. Multi-period mean-variance portfolio selection with fixed and proportional transaction costs. Journal of Industrial & Management Optimization, 2013, 9 (3) : 643-656. doi: 10.3934/jimo.2013.9.643
[10]	Fabio Camilli, Francisco Silva. A semi-discrete approximation for a first order mean field game problem. Networks & Heterogeneous Media, 2012, 7 (2) : 263-277. doi: 10.3934/nhm.2012.7.263
[11]	Zhongbao Zhou, Ximei Zeng, Helu Xiao, Tiantian Ren, Wenbin Liu. Multiperiod portfolio optimization for asset-liability management with quadratic transaction costs. Journal of Industrial & Management Optimization, 2019, 15 (3) : 1493-1515. doi: 10.3934/jimo.2018106
[12]	Hans Weinberger. The approximate controllability of a model for mutant selection. Evolution Equations & Control Theory, 2013, 2 (4) : 741-747. doi: 10.3934/eect.2013.2.741
[13]	Anna Belova. Rigorous enclosures of rotation numbers by interval methods. Journal of Computational Dynamics, 2016, 3 (1) : 81-91. doi: 10.3934/jcd.2016004
[14]	M. S. Lee, B. S. Goh, H. G. Harno, K. H. Lim. On a two-phase approximate greatest descent method for nonlinear optimization with equality constraints. Numerical Algebra, Control & Optimization, 2018, 8 (3) : 315-326. doi: 10.3934/naco.2018020
[15]	Ke Ruan, Masao Fukushima. Robust portfolio selection with a combined WCVaR and factor model. Journal of Industrial & Management Optimization, 2012, 8 (2) : 343-362. doi: 10.3934/jimo.2012.8.343
[16]	Hanqing Jin, Xun Yu Zhou. Continuous-time portfolio selection under ambiguity. Mathematical Control & Related Fields, 2015, 5 (3) : 475-488. doi: 10.3934/mcrf.2015.5.475
[17]	Yufei Sun, Ee Ling Grace Aw, Bin Li, Kok Lay Teo, Jie Sun. CVaR-based robust models for portfolio selection. Journal of Industrial & Management Optimization, 2017, 13 (5) : 1-11. doi: 10.3934/jimo.2019032
[18]	Li Xue, Hao Di. Uncertain portfolio selection with mental accounts and background risk. Journal of Industrial & Management Optimization, 2019, 15 (4) : 1809-1830. doi: 10.3934/jimo.2018124
[19]	Yanqing Liu, Jiyuan Tao, Huan Zhang, Xianchao Xiu, Lingchen Kong. Fused LASSO penalized least absolute deviation estimator for high dimensional linear regression. Numerical Algebra, Control & Optimization, 2018, 8 (1) : 97-117. doi: 10.3934/naco.2018006
[20]	Óscar Vega-Amaya, Joaquín López-Borbón. A perturbation approach to a class of discounted approximate value iteration algorithms with borel spaces. Journal of Dynamics & Games, 2016, 3 (3) : 261-278. doi: 10.3934/jdg.2016014

2018 Impact Factor: 1.025

Tools

Metrics

Tools

Article outline

Figures and Tables

2018 Impact Factor: 1.025

Tools

Figures and Tables

2018 Impact Factor: 1.025

American Institute of Mathematical Sciences

Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints

References:

References:

Tools

Metrics

Other articles
by authors

Tools

Tools

Tools

Metrics

Other articles
by authors

American Institute of Mathematical Sciences

Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints

References:

References:

Tools

Metrics

Other articlesby authors

Tools

Tools

Tools

Metrics

Other articlesby authors

Other articles
by authors

Other articles
by authors