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An artificial bee colony algorithm for uncertain portfolio selection.

Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts' evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of...

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Published in:Scientific World Journal pp. 578182 - 578183
Main Author: Chen, Wei
Format: research Journal Article
Published: Wiley-Blackwell 2014
Online Access:View this record in EBSCOhost
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      jtl: Scientific World Journal
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      dt: 2014
      pid: 480
      pub: Wiley-Blackwell
      place: Malden, Massachusetts
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        10.1155/2014/578182
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      tig:
        atl: An artificial bee colony algorithm for uncertain portfolio selection.
      aug:
        au: Chen, Wei
        affil: School of Information, Capital University of Economics and Business, Beijing 100070, China.
      sug:
        subj:
          Algorithms
          Investments
          Models, Theoretical
          Uncertainty
      ab: Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts' evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns. In the proposed mean-variance-entropy model, the uncertain mean value of the return is used to measure investment return, the uncertain variance of the return is used to measure investment risk, and the entropy is used to measure diversification degree of portfolio. In order to solve the proposed model, a modified artificial bee colony (ABC) algorithm is designed. Finally, a numerical example is given to illustrate the modelling idea and the effectiveness of the proposed algorithm.
      pubtype: Academic Journal
      doctype:
        research
        Journal Article
      ougenre: Article
    language: English
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