Multi-period Portfolio Selection Model With Transaction Cost

Nowadays, both financial research scholars and asset managers pay attention to an important investment issue. How to allocate investors’ funds into different stocks or securities, to meet the investor’s investment purposes which is to avoid risk and ensure the benefits. But in reality, investors are faced with an extremely complex market, they are not sure of the risks and benefits, and it is difficult to identify the uncertainty of the investment analysis, however the nature of the portfolio is the investment under uncertainty environment.Since Markowitz proposed the classical mean-variance theory, many scholars did research based on his theoretical framework and they bad made fruitful achievements. But these achievements are built on random uncertain conditions, portfolio in fuzzy environment is difficult to describe. The behavior of investors tends to be long-term, but in view of the existing model for portfolio in fuzzy environment, most portfolio model is still in single period, scholars are constantly doing research. Therefore, we build the multi-period portfolio model in fuzzy environment based on the fuzzy theory, portfolio theory and optimization method, so as to analysis investors’investment behavior.First of all, based on the Markowitz mean-variance model, we proposed the mean-semivariance-entropy multi-period portfolio model with transaction costs. Then using the Shanghai Stock Exchange from January 2002 to December 2013, we analysis investors’ investment behavior under different investment preferences, and verify the performance of the proposed model. Secondly, on the basis of the mean-semivariance-entropy model, we build a mean-variance-skewness multi-period model with transaction cost. Then taking advantage of the Shanghai Stock Exchange from January 2011 to December 2014, we analysis of investment behavior under different circumstances investment preferences of investors, and to verify the performance of the proposed model.