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Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure

1
School of Management, Shanghai University, Shanghai 200444, China
2
School of Economics, Shanghai University of Finance and Economics, Shanghai 200433, China
3
School of Economics and Management, Tongji University, Shanghai 200082, China
*
Author to whom correspondence should be addressed.
Entropy 2019, 21(5), 491; https://doi.org/10.3390/e21050491
Received: 16 April 2019 / Revised: 8 May 2019 / Accepted: 9 May 2019 / Published: 13 May 2019
(This article belongs to the Section Multidisciplinary Applications)
PDF [351 KB, uploaded 13 May 2019]

Abstract

In this paper, we study the portfolio selection problem considering transaction costs under multiple periods. For non-professional investors, it is a critical factor to choose an appropriate model among multiple portfolio selection models in investment. Based on the credibility measure, we formulate a multi-period polynomial portfolio selection model to gather the risk indicators involving variance, semi-variance, entropy, and semi-entropy, helping investors bet on assets. According to the polynomial goal programming (PGP) approach, investors can conquer the fields by combining apposite indicators to build appropriate models. Subsequently, an adjusted genetic algorithm on the foundation of the penalty function is designed to obtain the optimal solution of this multi-period model. The results indicate that the PGP method is suitable for investors to choose the model and assigns the proper models to investors with different risk preferences.
Keywords: multi-period portfolio selection; genetic algorithm; credibility measure; risk indicator multi-period portfolio selection; genetic algorithm; credibility measure; risk indicator
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Zhou, J.; Shen, J.; Zhao, Z.; Gu, Y.; Zhao, M. Performance of Different Risk Indicators in a Multi-Period Polynomial Portfolio Selection Problem Based on the Credibility Measure. Entropy 2019, 21, 491.

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