Research Article
A Credible Mean-Skewness-Kurtosis Portfolio Selection Model with Chance-Constraint
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326790, author={Xiaolian Meng and Jing Ma}, title={A Credible Mean-Skewness-Kurtosis Portfolio Selection Model with Chance-Constraint}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={portfolio selection; credibility theory; chance- constraint; improved multi-objective particle swarm optimization}, doi={10.4108/eai.18-11-2022.2326790} }- Xiaolian Meng
Jing Ma
Year: 2023
A Credible Mean-Skewness-Kurtosis Portfolio Selection Model with Chance-Constraint
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326790
Abstract
This paper firstly suppose that the distribution of asset returns has the characteristics of heavy tail and high peak in the actual financial market, and the risky asset returns are set as triangular fuzzy numbers. Meanwhile, the third and fourth moments of the returns are used to express skewness and kurtosis. Based on the credibility theory, considering the degree of risk preference of investors, a credible multi-objective portfolio selection model with chance-constraints is built. Secondly, an improved multi-objective particle swarm algorithm is designed to solve the model, and an empirical analysis is conducted to prove the validity of the model by using historical trading data of 12 stocks from Shanghai Stock Exchange.
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