An uncertain risk index model for the constrained portfolio adjusting problem

被引：0
作者：
Huang, Xiaoxia [1 ]
Ying, Haiyao [1 ]
机构：
[1] School of Economics and Management, University of Science and Technology Beijing
来源：
2012 International Conference on Information Science and Applications, ICISA 2012 | 2012年
关键词：
minimum transaction lots; risk index; transaction costs; uncertain portfolio adjusting;
D O I：
10.1109/ICISA.2012.6220979
中图分类号：
学科分类号：
摘要：
This paper discusses a portfolio adjusting problem with additional risk assets and a riskless asset in the situation where risk asset returns are regarded as uncertain variables. Using expected value and risk index as measures of return and risk, we propose a portfolio optimization model for an existing portfolio with transaction costs, bounded constraints and minimum transaction lots on holding of risk assets. Besides, we also consider the fact that the riskless asset (capital) can be borrowed or lent at different interest rates. The adjusting model is converted into its crisp form, enabling the users to effectively solve the adjusting problem with currently available programming solvers. For the sake of illustration, an example is also provided. © 2012 IEEE.
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