Fuzzy hidden Markov-switching portfolio selection with capital gain tax

作者：

Highlights：

• An adjusted fuzzy number is introduced and some properties are studied.

• A fuzzy regime switching portfolio selection model is proposed.

• The impact of capital gain tax on portfolio selection is studied.

• A numerical integral-based particle swarm optimization algorithm is designed.

摘要

•An adjusted fuzzy number is introduced and some properties are studied.•A fuzzy regime switching portfolio selection model is proposed.•The impact of capital gain tax on portfolio selection is studied.•A numerical integral-based particle swarm optimization algorithm is designed.

论文关键词：Fuzzy sets,Regime switching,Capital gain tax,Numerical integral simulation,Particle swarm optimization

论文评审过程：Received 14 September 2019, Revised 6 December 2019, Accepted 10 February 2020, Available online 12 February 2020, Version of Record 19 February 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113304