Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm

• Main Authors: Mohammad Ali Barati, Mohammad Mohammadi, Bahman Naderi
• Format: Article
• Language: English
• Published: Growing Science 2016-04-01
• Series: International Journal of Industrial Engineering Computations
• Subjects: Multi-period portfolio; Mean-semi variance; Transaction cost; Minimum transaction lots; Fuzzy theory
• Online Access: http://www.growingscience.com/ijiec/Vol7/IJIEC_2015_43.pdf

Multi-period models of portfolio selection have been developed in the literature with respect to certain assumptions. In this study, for the first time, the portfolio selection problem has been modeled based on mean-semi variance with transaction cost and minimum transaction lots considering functional constraints and fuzzy parameters. Functional constraints such as transaction cost and minimum transaction lots were included. In addition, the returns on assets parameters were considered as trapezoidal fuzzy numbers. An efficient genetic algorithm (GA) was designed, results were analyzed using numerical instances and sensitivity analysis were executed. In the numerical study, the problem was solved based on the presence or absence of each mode of constraints including transaction costs and minimum transaction lots. In addition, with the use of sensitivity analysis, the results of the model were presented with the variations of minimum expected rate of programming periods.