The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

Chen W; Zhang WG

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The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

机译：具有交易成本和改进的PSO算法的可容许投资组合选择问题

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In this paper, we discuss the portfolio selection problem with transaction costs under the assumption that there exist admissible errors on expected returns and risks of assets We propose a new admissible efficient portfolio selection model and design an improved particle swarm optimization (PSO) algorithm because traditional optimization algorithms fail to work efficiently for our proposed problem Finally, we offer a numerical example to illustrate the proposed effective approaches and compare the admissible portfolio efficient frontiers under different constraints

机译：在本文中，我们假设资产的预期收益和风险存在可容许的误差，并以此为基础讨论了带有交易成本的资产组合选择问题。我们提出了一种新的可容许的有效资产组合选择模型，并设计了一种改进的粒子群优化（PSO）算法，因为优化算法无法有效解决我们提出的问题最后，我们提供了一个数值示例来说明提出的有效方法，并比较了不同约束条件下可容许的投资组合有效边界

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《Physica, A. Statistical mechanics and its applications》 |2010年第10期|共7页
作者
Chen W; Zhang WG;
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正文语种 eng
中图分类物理学;
关键词
Portfolio selection; Admissible return; Admissible risk; Transaction costs; Particle swarm optimization;

机译：投资组合选择;可接受的收益;可接受的风险;交易成本;粒子群优化;

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专利

1. The admissible portfolio selection problem with transaction costs and an improved PSO algorithm [J] . Chen W, Zhang WG Physica, A. Statistical mechanics and its applications . 2010,第10期

机译：具有交易成本和改进的PSO算法的可容许投资组合选择问题
2. An online portfolio selection algorithm using clustering approaches and considering transaction costs [J] . Khedmati Majid, Azin Pejman Expert systems with applications . 2020,第Nova期

机译：使用聚类方法的在线投资组合选择算法和考虑交易成本
3. A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs [J] . Wei Chen, Yun Wang, Mukesh Kumar Mehlawat Annals of Operations Research . 2018,第1a2期

机译：具有交易成本的模糊投资组合选择的混合FA-SA算法
4. A new genetic algorithm for portfolio selection with fixed transaction costs and minimum transaction lots [C] . Dan Lin, Shouyang Wang International Symposium on Knowledge and Systems Sciences(KSS'2001); 20010925-27; Dalian(CN) . 2001

机译：具有固定交易成本和最小交易手数的投资组合选择的新遗传算法
5. Robust Value-at-Risk (VaR) Portfolio Selection Problem Under the Joint Ellipsoidal Uncertainty Set In the Presence of Transactions Costs. [D] . Park, Hyekyung. 2017

机译：在存在交易成本的联合椭圆不确定性集合下的鲁棒风险价值（VaR）资产组合选择问题。
6. Identifying Potential Clinical Syndromes of Hepatocellular CarcinomaUsing PSO-Based Hierarchical Feature Selection Algorithm [O] . Zhiwei Ji, Bing Wang -1

机译：识别肝细胞癌的潜在临床症状使用基于PSO的分层特征选择算法
7. Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm [O] . Mohammad Ali Barati, Mohammad Mohammadi, Bahman Naderi 2016

机译：基于遗传算法的交易成本和最小交易批多周期模糊均值半方差投资组合选择问题

The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

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