Document Type : Research Paper


School of Economics and Management, South China Normal University, Guangzhou 510006, P. R. China


In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with the return rate on a risky asset by its credibilitic expected value and semi- absolute deviation. Since the proposed model is a nonlinear dynamic optimization problem with path dependence, we design a novel forward dynamic programming method to solve it. Finally, we provide a numerical example to demonstrate the performance of the designed algorithm and the application of the proposed model.


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