A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments

A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control

“…One form of risk measure is variance which is widely accepted by many scholars, see for example [6,26,42]. In particular, Carlsson and Fullér [5] employed the variance of a portfolio return based on the possibilistic theory as the risk measure.…”

“…For transaction cost, similar to Zhang et al [42], we use V shape function to express it. Then, the total transaction cost of the portfolio at period t can be expressed by…”

“…We set every three years as an investment period to handle these data. Using the simple estimation approach proposed by Zhang et al [42], the possibility distributions of the returns of stocks at each period are listed in the following Table 2.…”

“…So it is reasonable to say that using fuzzy programming approaches to deal with portfolio selection problem are useful in real investment world. Recently, more and more fuzzy portfolio selection models have been proposed, see for example Hasuike and Ishii [15], Hasuike et al [16], Sadjadi et al [28], Zhang et al [41,42].…”

A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts

“…[12][13][14] Some studies consider portfolio optimization with fixed transaction costs; [15,16] on the other hand, there are studies considering variable transaction costs that changes as proportion of the amount of assets traded. [6,[17][18][19][20] Since the introduction of the mean-variance model, [1] variance is widely used as a risk measure; however, it has limitations. One of the main limitations is that the variance penalizes extreme upside (gains) and downside (losses) movements from the expected return; thus, it becomes less appropriate measure of portfolio risk when probability distributions of asset returns are asymmetric.…”