Multi-period portfolio optimization using coherent fuzzy numbers in a credibilistic environment

作者：

Highlights：

• A multi-period multi-objective portfolio optimization model is developed.

• Coherent fuzzy numbers are used to model the returns and the investor attitude.

• Credibilistic optimization model is solved through a real-coded genetic algorithm.

• The models’ performance is tested using real-time return data of assets.

摘要

•A multi-period multi-objective portfolio optimization model is developed.•Coherent fuzzy numbers are used to model the returns and the investor attitude.•Credibilistic optimization model is solved through a real-coded genetic algorithm.•The models’ performance is tested using real-time return data of assets.

论文关键词：Fuzzy multi-period portfolio optimization,Multi-objective programming,Fuzzy set theory,Coherent fuzzy numbers,Conditional Value-at-Risk,Real-coded genetic algorithm

论文评审过程：Received 28 June 2020, Revised 16 September 2020, Accepted 16 October 2020, Available online 2 November 2020, Version of Record 10 February 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.114135