title: An artificial bee colony algorithm for uncertain portfolio selection.
abstract: Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts' evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns. In the proposed mean-variance-entropy model, the uncertain mean value of the return is used to measure investment return, the uncertain variance of the return is used to measure investment risk, and the entropy is used to measure diversification degree of portfolio. In order to solve the proposed model, a modified artificial bee colony (ABC) algorithm is designed. Finally, a numerical example is given to illustrate the modelling idea and the effectiveness of the proposed algorithm.
authors.affiliation: School of Information, Capital University of Economics and Business, Beijing 100070, China.
authors.forename: Wei
authors.initials: W
authors.lastname: Chen
mesh_terms: D000465:Algorithms; D007449:Investments; D008962:Models, Theoretical; D035501:Uncertainty