Affiliations: [a] School of Economics, Beijing International Studies University, Beijing, China
| [b] School of Economics and Management, Beihang University, Beijing, China
| [c] School of Economics, Peking University, Beijing, China
Correspondence:
[*]
Corresponding author. Jia Zhai, School of Economics, Beijing International Studies University, Beijing 100024,
China. Tel.: +86 18810306204; E-mail: [email protected].
Abstract: This paper explores a multiperiod portfolio optimization problem under uncertain measure involving background risk, liquidity constraints and V-shaped transaction costs. Unlike traditional studies, we establish multiperiod mean-variance portfolio optimization models with multiple criteria in which security returns, background asset returns and turnover rates are assumed to be uncertain variables that can be estimated by experienced experts. When the returns of the securities and background assets follow normal uncertainty distributions, we use the deterministic forms of the multiperiod portfolio optimization model. The uncertain multiperiod portfolio selection models are practical but complicated. Therefore, the models are solved by employing a genetic algorithm. The uncertain multiperiod model with multiple criteria is compared with an uncertain multiperiod model without background risk and an uncertain multiperiod model without liquidity constraint respectively, we discuss how background risk and liquidity affect optimal terminal wealth. Finally, we give two numerical examples to demonstrate the effectiveness of the proposed approach and models.
