In the complex financial market, there are situations where the security returns have to be evaluated by experienced experts due to the lack of historical data. In this paper, within the framework of uncertainty theory, we propose a multi-period bi-objective regret minimization model for portfolio selection, in which bankruptcy risk and liquidity risk are both considered. Furthermore, in order to solve the proposed multi-objective optimization problem, a novel hybrid algorithm named MFA-SCA is proposed by combining the advantages of the firefly algorithm (FA) and sine cosine algorithm (SCA). Finally, a numerical example is given to illustrate the effectiveness of the proposed approaches.
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