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Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure
In this paper, we study the portfolio selection problem considering transaction costs under multiple periods. For non-professional investors, it is a critical factor to choose an appropriate model among multiple portfolio selection models in investment. Based on the credibility measure, we formulate...
Autores principales: | , , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2019
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514980/ https://www.ncbi.nlm.nih.gov/pubmed/33267205 http://dx.doi.org/10.3390/e21050491 |
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author | Zhou, Jian Shen, Jie Zhao, Ziheng Gu, Yujie Zhao, Mingxuan |
author_facet | Zhou, Jian Shen, Jie Zhao, Ziheng Gu, Yujie Zhao, Mingxuan |
author_sort | Zhou, Jian |
collection | PubMed |
description | In this paper, we study the portfolio selection problem considering transaction costs under multiple periods. For non-professional investors, it is a critical factor to choose an appropriate model among multiple portfolio selection models in investment. Based on the credibility measure, we formulate a multi-period polynomial portfolio selection model to gather the risk indicators involving variance, semi-variance, entropy, and semi-entropy, helping investors bet on assets. According to the polynomial goal programming (PGP) approach, investors can conquer the fields by combining apposite indicators to build appropriate models. Subsequently, an adjusted genetic algorithm on the foundation of the penalty function is designed to obtain the optimal solution of this multi-period model. The results indicate that the PGP method is suitable for investors to choose the model and assigns the proper models to investors with different risk preferences. |
format | Online Article Text |
id | pubmed-7514980 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2019 |
publisher | MDPI |
record_format | MEDLINE/PubMed |
spelling | pubmed-75149802020-11-09 Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure Zhou, Jian Shen, Jie Zhao, Ziheng Gu, Yujie Zhao, Mingxuan Entropy (Basel) Article In this paper, we study the portfolio selection problem considering transaction costs under multiple periods. For non-professional investors, it is a critical factor to choose an appropriate model among multiple portfolio selection models in investment. Based on the credibility measure, we formulate a multi-period polynomial portfolio selection model to gather the risk indicators involving variance, semi-variance, entropy, and semi-entropy, helping investors bet on assets. According to the polynomial goal programming (PGP) approach, investors can conquer the fields by combining apposite indicators to build appropriate models. Subsequently, an adjusted genetic algorithm on the foundation of the penalty function is designed to obtain the optimal solution of this multi-period model. The results indicate that the PGP method is suitable for investors to choose the model and assigns the proper models to investors with different risk preferences. MDPI 2019-05-13 /pmc/articles/PMC7514980/ /pubmed/33267205 http://dx.doi.org/10.3390/e21050491 Text en © 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). |
spellingShingle | Article Zhou, Jian Shen, Jie Zhao, Ziheng Gu, Yujie Zhao, Mingxuan Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure |
title | Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure |
title_full | Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure |
title_fullStr | Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure |
title_full_unstemmed | Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure |
title_short | Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure |
title_sort | performance of different risk indicators in a multi-period polynomial portfolio selection problem based on the credibility measure |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514980/ https://www.ncbi.nlm.nih.gov/pubmed/33267205 http://dx.doi.org/10.3390/e21050491 |
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