Fuzzy multi-period mean-variance-skewness portfolio selection model with transaction cost

This paper deals with a multi-period portfolio selection problem with fuzzy returns. A mean-variance-skewness model for multi-period portfolio selection is presented by taking into account four criteria viz., short and long term returns, dividends, liquidity and number of assets in the portfolio. The return and risk level are measured by interval numbers in the proposed model. Furthermore, an intelligent algorithm is designed to obtain the optimal portfolio strategy. Finally, a numerical example is provided to illustrate the efficiency of the proposed model and the designed algorithm.