Abstract: Considering the borrowing constraints, threshold constraints, return demand and cardinality constraints, a new multiperiod possibislistic mean standard lower semi-variance portfolio selection model is proposed. Based on the possibilistic theory, the proposed model can be transformed into a crisp nonlinear dynamic optimization problem. Because the standard deviation operator is not separable, the optimal solution of the model is not time-consistent. By applying the game theory, the model is transformed into a time-consistentdynamic optimization problem. The discrete iteration method is used to obtain the optimal time-consistent strategy.Finally, the comparison analyses of trade-off parameters, different desired number of risk assets and different borrowing constraints are givento illustrate the idea of the model and the effectiveness of the designed algorithm.

Key words: multiperiod fuzzy portfolio selection; mean standard lower semi-variance; return demand; time-consistent strategy; a discrete approximate iteration method