Selecting The Optimal Multi-Period Stock Portfolio with Different Time Horizons in the Credibility Theory Framework

The purpose of this study is to present a multi-period portfolio model in which assets have different time horizons for corrections or an asset may not be traded for the first few periods and then enter the correction stage. In this model, fuzzy variables defined in a credibility space are used to describe the return, and the credibility measure controls the risk. The model s objective function is to maximize the portfolio s ultimate wealth, and a constraint is used to control portfolio risk, in which the validity of the portfolio s ultimate wealth below a certain threshold is controlled at a certain level of confidence. A combination of particle swarm optimization and simulation is used to find the best solution. Finally, using a numerical example, the model is implemented on a portfolio with 6 assets and 4 monthly time steps on the Tehran Stock Exchange. Practical implementation shows that the optimal portfolio has the ability to provide the final desired wealth of the investor at a 95% confidence level and the portfolio return, including transaction costs, is higher than the return of a single-period portfolio.