Journal of Guangdong University of Technology ›› 2021, Vol. 38 ›› Issue (02): 39-47.doi: 10.12052/gdutxb.200100

• Comprehensive Studies • Previous Articles     Next Articles

A Multi-period Fuzzy Portfolio Optimization Model Considering Restricted Short Selling

Chen Si-dou, Huang Zhuo-quan, Yang Xing-yu   

  1. School of Management, Guangdong University of Technology, Guangzhou 510520, China
  • Received:2020-08-13 Online:2021-03-10 Published:2021-01-13

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Abstract: In the actual stock market, short selling is an important investment vehicle. A multi-period fuzzy portfolio optimization problem with restricted short selling is studied. Firstly, regarding the returns of risky assets as trapezoidal fuzzy numbers, within the situation of short selling, a multi-period credibilistic mean-lower-semi-variance-skewness portfolio optimization model is constructed with the minimum expected return constraint for each period, bankruptcy control constraint and bound constraint. Then, a modified multiple particle swarm optimization is designed to solve the model. Finally, a numerical example is given with real stock data to illustrate the effectiveness of the proposed optimization model and algorithm.

Key words: multi-period fuzzy portfolio selection, restricted short selling, bankruptcy control constraint, multiple particle swarm optimization

CLC Number: 

  • TP18
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