Skip to main content
SpringerLink
Log in

Multicriteria Credibilistic Portfolio Rebalancing Problem with Fuzzy Chance-Constraint

  • Conference paper
  • First Online:
Proceedings of the International Conference on Soft Computing for Problem Solving (SocProS 2011) December 20-22, 2011

Part of the book series: Advances in Intelligent and Soft Computing ((AINSC,volume 130))

  • 2143 Accesses

Abstract

In this paper, we propose multicriteria credibilistic framework for portfolio rebalancing (adjusting) problem with fuzzy parameters considering return, risk and liquidity as key financial criteria. Transaction cost is an important factor to be taken into consideration in portfolio selection. It is not trivial enough to be neglected and the optimal portfolio depends upon the total costs of transaction. We assume that the investor pays changeable transaction costs based on incremental discount schemes, which are adjusted in the net return of the portfolio. A hybrid intelligent algorithm, integrating fuzzy simulation and real-coded genetic algorithm is developed to solve the portfolio rebalancing (adjusting) model.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 169.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 219.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Charnes, A., Cooper, W.W.: Chance-constrained programming. Manag. Sci. 6, 73–79 (1959)

    Article  MathSciNet  MATH  Google Scholar 

  2. Chen, J.S., Hou, J.L., Wu, S.M., Chang-Chien, Y.W.: Constructing investment strategy portfolios by combination genetic algorithms. Expert. Syst. Appl. 36, 3824–3828 (2009)

    Article  Google Scholar 

  3. Choi, U.J., Jang, B.G., Koo, H.K.: An algorithm for optimal portfolio selection problems with transaction costs and random lifetimes. Appl. Math. Comput. 191, 239–252 (2007)

    Article  MathSciNet  MATH  Google Scholar 

  4. Fang, Y., Lai, K.K., Wang, S.Y.: Portfolio rebalancing model with transaction costs based on fuzzy decision theory. Eur. J. Oper. Res. 175, 879–893 (2006)

    Article  MATH  Google Scholar 

  5. Gupta, P., Mehlawat, M.K., Saxena, A.: Asset portfolio optimization using fuzzy mathematical programming. Inform. Sci. 178, 1734–1755 (2008)

    Article  MathSciNet  MATH  Google Scholar 

  6. Gupta, P., Mehlawat, M.K., Saxena, A.: A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality. Inform. Sci. 180, 2264–2285 (2010)

    Article  Google Scholar 

  7. Gupta, P., Inuiguchi, M., Mehlawat, M.K.: A hybrid approach for constructing suitable and optimal portfolios. Expert. Syst. Appl. 38, 5620–5632 (2011)

    Article  Google Scholar 

  8. Hasuike, T., Katagiri, H., Ishii, H.: Portfolio selection problems with random fuzzy variable returns. Fuzzy Set. Syst. 160, 2579–2596 (2009)

    Article  MathSciNet  MATH  Google Scholar 

  9. Holland, J.H.: Adaptation in Natural and Artificial Systems. University of Michigan Press, Ann Arbor (1975)

    Google Scholar 

  10. Huang, X.: A review of credibilistic portfolio selection. Fuzzy Optim. Decis. Making 8, 263–281 (2009)

    Article  MATH  Google Scholar 

  11. Kozhan, R., Schmid, W.: Asset allocation with distorted beliefs and transaction costs. Eur. J. Oper. Res. 194, 236–249 (2009)

    Article  MathSciNet  MATH  Google Scholar 

  12. Li, X., Liu, B.: A sufficient and necessary condition for credibility measures. Int. J. Uncertainity, Fuzziness Knowledge-Based Syst. 14, 527–535 (2006)

    Article  MATH  Google Scholar 

  13. Li, X., Qin, Z., Kar, S.: Mean-Variance-Skewness model for portfolio selection with fuzzy returns. Eur. J. Oper. Res. 202, 239–247 (2010)

    Article  MATH  Google Scholar 

  14. Liu, B.: Theory and Practice of Uncertain Programming. Physica-Verlag, Heidelberg (2002)

    MATH  Google Scholar 

  15. Liu, B., Liu, Y.K.: Expected value of fuzzy variable and fuzzy expected value models. IEEE Trans. Fuzzy Syst. 10, 445–450 (2002)

    Article  Google Scholar 

  16. Liu, B.: Uncertainty Theory: An Introduction to Its Axiomatic Foundations. Springer, Berlin (2004)

    MATH  Google Scholar 

  17. Markowitz, H.: Portfolio selection. J. Finance 7, 77–91 (1952)

    Article  Google Scholar 

  18. Morton, A.J., Pliska, S.R.: Optimal portfolio management with transaction costs. Math. Finance 5, 337–356 (1995)

    Article  MATH  Google Scholar 

  19. Murata, T., Ischibuchi, H.: MOGA: multi-objective genetic algorithms. In: Proceedings of the Second IEEE International Conference on Evolutionary Computation, pp. 289–294 (1995)

    Google Scholar 

  20. Nahmias, S.: Production and Operations Analysis. McGraw/Irwin, New York (2001)

    Google Scholar 

  21. Qin, Z., Li, X., Ji, X.: Portfolio selection based on fuzzy cross-entropy. J. Comput. Appl. Math. 228, 139–149 (2009)

    Article  MathSciNet  MATH  Google Scholar 

  22. Yu, J.R., Lee, W.Y.: Portfolio rebalancing model using multiple criteria. Eur. J. Oper. Res. 209, 166–175 (2011)

    Article  MathSciNet  MATH  Google Scholar 

  23. Zadeh, L.A.: Fuzzy sets. Inform. Contr. 8, 338–353 (1965)

    Article  MathSciNet  MATH  Google Scholar 

  24. Zadeh, L.A.: Towards a generalized theory of uncertainity (GTU)-an outline. Inform. Sci. 172, 1–40 (2005)

    Article  MathSciNet  MATH  Google Scholar 

  25. Zhang, W.G., Nie, Z.K.: On admissible efficient portfolio selection problem. Appl. Math. Comput. 159, 357–371 (2004)

    Article  MathSciNet  MATH  Google Scholar 

  26. Zhang, X., Zhang, W.G., Cai, R.: Portfolio adjusting optimization under credibility measures. J. Comput. Appl. Math. 234, 1458–1465 (2010)

    Article  MathSciNet  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Operational Research, University of Delhi, Delhi, India

    Pankaj Gupta, Garima Mittal & Mukesh K. Mehlawat

Authors
  1. Pankaj Gupta
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Garima Mittal
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Mukesh K. Mehlawat
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Pankaj Gupta .

Editor information

Editors and Affiliations

  1. , Department of Mathematics, Indian Institute of Technology Roorkee, Uttarakhand, Roorkee, 247667, India

    Kusum Deep

  2. Department of Mathematics and, Computer Science, Liverpool Hope University, Hope Park, Liverpool, L16 9JD, United Kingdom

    Atulya Nagar

  3. , Department of Paper Technology, Indian Institute of Technology Roorkee, Uttarakhand, Roorkee, 247667, India

    Millie Pant

  4. Information Technology and Management, ABV-Indian Institute of, 109, E- Block, Gwalior, 474010, India

    Jagdish Chand Bansal

Rights and permissions

Reprints and permissions

Copyright information

© 2012 Springer India Pvt. Ltd.

About this paper

Cite this paper

Gupta, P., Mittal, G., Mehlawat, M.K. (2012). Multicriteria Credibilistic Portfolio Rebalancing Problem with Fuzzy Chance-Constraint. In: Deep, K., Nagar, A., Pant, M., Bansal, J. (eds) Proceedings of the International Conference on Soft Computing for Problem Solving (SocProS 2011) December 20-22, 2011. Advances in Intelligent and Soft Computing, vol 130. Springer, India. https://doi.org/10.1007/978-81-322-0487-9_92

Download citation

  • DOI: https://doi.org/10.1007/978-81-322-0487-9_92

  • Published:

  • Publisher Name: Springer, India

  • Print ISBN: 978-81-322-0486-2

  • Online ISBN: 978-81-322-0487-9

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation