Portfolio selection models with transaction costs under uncertain scenarios
Xiqing Yang · Journal of Yunnan University of Nationalities · 2013
The returns and risks of securities cannot be predicted accurately when making portfolio selection.This paper proposes a portfolio selection model with the probabilistic constraints based on the Roy′s safety-first criterion.Meanwhile,the model takes into account the transaction costs.Because the model is nonlinear,this research uses the Particle Swarm Optimization(PSO) to solve it.Finally,the numerical analysis verifies the feasibility of the algorithm.