Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs | Zendy

Wei Chen | Zendy; Hui Ma | Zendy; Yiping Yang | Zendy; Sun Meng-rong | Zendy

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Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs

Author(s) -

Wei Chen,

Hui Ma,

Yiping Yang,

Sun Meng-rong

Publication year - 2014

Publication title -

journal of applied mathematics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.307

H-Index - 43

eISSN - 1687-0042

pISSN - 1110-757X

DOI - 10.1155/2014/192868

Subject(s) - portfolio , mathematical optimization , portfolio optimization , ambiguity , probabilistic logic , computer science , vagueness , moment (physics) , fuzzy logic , transaction cost , mathematics , economics , artificial intelligence , finance , physics , classical mechanics , programming language

Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, we discuss a portfolio adjusting problem under the assumption that the returns of risky assets are fuzzy numbers and there exist general transaction costs in portfolio adjusting process. In the proposed model, we take the first possibilistic moment about zero of a portfolio as the investment return and the second possibilistic moment about the possibilistic mean value of the portfolio as the investment risk. To solve the proposed model, a modified artificial bee colony (ABC) algorithm is developed for calculating the optimal portfolio adjusting strategy. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and approach

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