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首页> 外文期刊>The North American journal of economics and finance >Multi-period and tri-objective uncertain portfolio selection model: A behavioral approach
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Multi-period and tri-objective uncertain portfolio selection model: A behavioral approach

机译：多时期和三目标不确定组合选择模型：行为方法

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摘要

This paper discusses a multi-period and tri-objective portfolio optimization problem, where asset returns are formalized as uncertain variables. Based on uncertainty theory, a multi-period and tri-objective uncertain portfolio model is proposed, which considers the loss-averse utility, liquidity risk and diversification degree simultaneously. Additionally, a chance constraint is introduced into the model to reflect investors' safety requirement during the investment period. To solve the portfolio model, a self-adaptive particle swarm optimization (SAPSO) is also proposed. In SAPSO, a self-adaptive stochastic ranking approach is employed to balance the abilities of exploration and exploitation in the searching process. Finally, a numerical experiment is presented. The results show that SAPSO is effective to solve the proposed model and the proposed portfolio model can express investors' preference by adjusting the objective weights.
机译：本文讨论了多个时期和三目标组合优化问题，其中资产返回正式被形式化为不确定的变量。基于不确定性理论，提出了一种多时期和三目标不确定的组合模型，其同时考虑了丧失厌恶效用，流动性风险和多样化程度。此外，在模型中引入了机会约束，以反映投资期间的投资者的安全要求。为了解决投资组合模型，还提出了一种自适应粒子群优化（SAPSO）。在SAPSO中，采用自适应随机排名方法来平衡搜索过程中勘探和利用的能力。最后，提出了数值实验。结果表明，SAPSO有效解决所提出的模型，拟议的产品组合模型可以通过调整客观重量来表达投资者的偏好。

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