Multiperiod Mean-Absolute Deviation Credibilitic Portfolio Optimization with Chance Constraint

In this paper, we propose a new multiperiod credibilitic portfolio selection model with fuzzy chance constraint, which the real constraints, ie. the borrowing constraints, threshold constraints, cardinality constraints and transaction costs are considered. We use credibilitic mean and credibilitic absolute deviation to measure return and risk of portfolio selection, respectively. Under the given confidence level, the return of portfolio selection cant be less than preset value. Based on credibilitic theories, the model is transformed into a dynamic optimization problem. Because of the transaction costs and cardinality constraints, the model is a mix integer dynamic optimization problem with path dependence, which is NP hard problem that is difficult to handle. A novel forward dynamic programming method is designed to obtain the optimal portfolio strategy. At last, numerical experiments are included to showcase the applicability and efficiency of the model in a real investment environment.