Multi-period uncertain portfolio selection model with prospect utility function

Abstract

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.