Fuzzy hidden Markov-switching portfolio selection with capital gain tax

•An adjusted fuzzy number is introduced and some properties are studied.•A fuzzy regime switching portfolio selection model is proposed.•The impact of capital gain tax on portfolio selection is studied.•A numerical integral-based particle swarm optimization algorithm is designed. A fuzzy portfolio s...

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Veröffentlicht in:	Expert systems with applications 2020-07, Vol.149, p.113304, Article 113304
Hauptverfasser:	Guo, Sini, Ching, Wai-Ki, Li, Wai-Keung, Siu, Tak-Kuen, Zhang, Zhiwen
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Capital gain tax Capital gains Data structures Fuzzy sets Fuzzy systems Investment Mathematical models Numerical integral simulation Particle swarm optimization Random variables Regime switching Switching Tax rates
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