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Multi-period uncertain portfolio selection model with prospect utility function
In this paper, we discuss a multi-period portfolio optimization problem based on uncertainty theory and prospect theory. We propose an uncertain multi-period portfolio selection model, in which the return utility and risk of investment are measured by prospect theory utility function and uncertain s...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9473444/ https://www.ncbi.nlm.nih.gov/pubmed/36103564 http://dx.doi.org/10.1371/journal.pone.0274625 |
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author | Guo, Gaohuizi Xiao, Yao Yao, Cuiyou |
author_facet | Guo, Gaohuizi Xiao, Yao Yao, Cuiyou |
author_sort | Guo, Gaohuizi |
collection | PubMed |
description | In this paper, we discuss a multi-period portfolio optimization problem based on uncertainty theory and prospect theory. We propose an uncertain multi-period portfolio selection model, in which the return utility and risk of investment are measured by prospect theory utility function and uncertain semivariance. More realistically, the influence of transaction costs and bankruptcy of investor are also considered. Moreover, to solve the portfolio model, this paper designs a new artificial bee colony algorithm by combining sine cosine search method. Finally, a numerical experiment is presented to demonstrate the proposed model and the effectiveness of the designed algorithm. |
format | Online Article Text |
id | pubmed-9473444 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-94734442022-09-15 Multi-period uncertain portfolio selection model with prospect utility function Guo, Gaohuizi Xiao, Yao Yao, Cuiyou PLoS One Research Article In this paper, we discuss a multi-period portfolio optimization problem based on uncertainty theory and prospect theory. We propose an uncertain multi-period portfolio selection model, in which the return utility and risk of investment are measured by prospect theory utility function and uncertain semivariance. More realistically, the influence of transaction costs and bankruptcy of investor are also considered. Moreover, to solve the portfolio model, this paper designs a new artificial bee colony algorithm by combining sine cosine search method. Finally, a numerical experiment is presented to demonstrate the proposed model and the effectiveness of the designed algorithm. Public Library of Science 2022-09-14 /pmc/articles/PMC9473444/ /pubmed/36103564 http://dx.doi.org/10.1371/journal.pone.0274625 Text en © 2022 Guo et al https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Guo, Gaohuizi Xiao, Yao Yao, Cuiyou Multi-period uncertain portfolio selection model with prospect utility function |
title | Multi-period uncertain portfolio selection model with prospect utility function |
title_full | Multi-period uncertain portfolio selection model with prospect utility function |
title_fullStr | Multi-period uncertain portfolio selection model with prospect utility function |
title_full_unstemmed | Multi-period uncertain portfolio selection model with prospect utility function |
title_short | Multi-period uncertain portfolio selection model with prospect utility function |
title_sort | multi-period uncertain portfolio selection model with prospect utility function |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9473444/ https://www.ncbi.nlm.nih.gov/pubmed/36103564 http://dx.doi.org/10.1371/journal.pone.0274625 |
work_keys_str_mv | AT guogaohuizi multiperioduncertainportfolioselectionmodelwithprospectutilityfunction AT xiaoyao multiperioduncertainportfolioselectionmodelwithprospectutilityfunction AT yaocuiyou multiperioduncertainportfolioselectionmodelwithprospectutilityfunction |