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Journal of Applied Mathematics
Volume 2014 (2014), Article ID 192868, 12 pages
http://dx.doi.org/10.1155/2014/192868
Research Article

Application of Artificial Bee Colony Algorithm to Portfolio Adjustment Problem with Transaction Costs

School of Information, Capital University of Economics and Business, Beijing 100070, China

Received 7 February 2014; Accepted 18 May 2014; Published 15 June 2014

Academic Editor: X. Zhang

Copyright © 2014 Wei Chen et al. 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.

Abstract

Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, we discuss a portfolio adjusting problem under the assumption that the returns of risky assets are fuzzy numbers and there exist general transaction costs in portfolio adjusting process. In the proposed model, we take the first possibilistic moment about zero of a portfolio as the investment return and the second possibilistic moment about the possibilistic mean value of the portfolio as the investment risk. To solve the proposed model, a modified artificial bee colony (ABC) algorithm is developed for calculating the optimal portfolio adjusting strategy. Finally, a numerical example is given to illustrate the effectiveness of the proposed model and approach.