Portfolio Rebalancing under Uncertainty Using Meta-heuristic Algorithm

In this paper, we solve portfolio rebalancing problem when security returns are represented by uncertain variables considering transaction costs. The performance of the proposed model is studied using constant-proportion portfolio insurance (CPPI) as rebalancing strategy. Numerical results showed that uncertain parameters and different belief degrees will produce different efficient frontiers, and affect the performance of the proposed model. Moreover, CPPI strategy performs as an insurance mech...