Multi-period mean-variance model with transaction cost for fuzzy portfolio selection

This paper discusses multi-period portfolio selection problem in fuzzy environment. Following Markowitz´s idea of using expected return as the representative of the investment return and variance as the investment risk, we propose a fuzzy multi-period mean-variance model. The transaction cost factor is also considered in the model. In order to solve the model under fuzzy environment, we give the crisp equivalents of the model with security returns being all triangular or normal fuzzy variables respectively. To give a general solution, a hybrid intelligent algorithm based on fuzzy simulation is also designed for the optimization problem. Finally, a numerical example is given to illustrate the modeling idea..