The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON INFORMATION SCIENCE AND APPLICATIONS
Transactions ID Number: 42-529
Full Name: Wei Chen
Position: Associate Professor
Age: ON
Sex: Male
Address: Capital University of Economics and Business
Country: CHINA
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E-mail address: cwcw2001@163.com
Other E-mails: chenwei@cueb.edu.cn
Title of the Paper: a possibilistic portfolio selection model with transaction costs based on PSO algorithm
Authors as they appear in the Paper: wei chen
Email addresses of all the authors: cwcw2001@163.com,chenwei@cueb.edu.cn
Number of paper pages: 10
Abstract: This paper deals with a portfolio selection problem with transaction costs in fuzzy environment. A possibilistic portfolio model with transaction costs is proposed in which the possibilistic mean value of the return is termed measure of investment return and the possibilistic variance of the return is termed measure of investment risk. We further design an improved particle swarm optimization to solve our proposed problem which is difficult to solve efficiently by traditional optimization algorithms due to its nonconcavity and special structure. At last, a numerical example is given to illustrate our proposed effective model and method.
Keywords: Possibility theory, Portfolio selection, Transaction costs, Particle swarm optimization
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