Multicriteria Credibilistic Portfolio Rebalancing Problem with Fuzzy Chance-Constraint

In this paper, we propose multicriteria credibilistic framework for portfolio rebalancing (adjusting) problem with fuzzy parameters considering return, risk and liquidity as key financial criteria. Transaction cost is an important factor to be taken into consideration in portfolio selection. It is not trivial enough to be neglected and the optimal portfolio depends upon the total costs of transaction. We assume that the investor pays changeable transaction costs based on incremental discount schemes, which are adjusted in the net return of the portfolio. A hybrid intelligent algorithm, integrating fuzzy simulation and real-coded genetic algorithm is developed to solve the portfolio rebalancing (adjusting) model.