A fuzzy multi-objective portfolio selection model with piecewise linear transaction costs

Abstract

In this paper, we studied a multi-objective portfolio selection problem with piecewise linear transaction costs in a fuzzy environment. Transaction costs are expenses incurred when buying or selling securities and they are a burden on investors who frequently make trades to balance their portfolio. To better evaluate portfolio performance with transaction costs, this paper extends a previous study to a new model called fuzzy multi-objective portfolio selection model with piecewise linear transaction costs. A fuzzy simulation-based particle swarm optimization algorithm is designed to solve the model considering investors' individual risk attitude. In addition, several numerical examples are provided to illustrate the effectiveness of this model and algorithm. A conclusion is drawn at the end of this paper. © 2014 The Institute of Electrical Engineers of Japan.