Multi-period Fuzzy Portfolio Selection Model with Cardinality constraints

The paper discusses a multi-period portfolio selection problem with cardinality constraints in uncertain environment. A multi-period fuzzy mean-variance-liquidity portfolio selection model is proposed by introducing transaction cost, cardinality constraints and bound constraints, in which risk, return and liquidity of the portfolio are expressed by interval numbers. Furthermore, an improved differential evolution algorithm is designed to solve the proposed model. Finally, a numerical example in Chinese stock markets is given to illustrate the effectiveness of the proposed model and the improved algorithm.