A novel risk definition for portfolio selection with uncertain returns

被引：0

作者：

Huang, Xiaoxia ^{[1
]}

机构：

[1] Univ Sci & Technol Beijing, Sch Econ & Management, Beijing 100083, Peoples R China

来源：

REC 2010: PROCEEDINGS OF THE 4TH INTERNATIONAL WORKSHOP ON RELIABLE ENGINEERING COMPUTING: ROBUST DESIGN - COPING WITH HAZARDS, RISK AND UNCERTAINTY | 2010年

基金：

中国国家自然科学基金;

关键词：

risk curve; portfolio selection; uncertainty; uncertain variable;

D O I：

10.3850/978-981-08-5118-7_057

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

Portfolio selection is concerned with optimization of capital allocation to a large number of securities. In portfolio selection, risk analysis is one of the most important topics and research on quantitative definition of risk remains core of the topic. This paper proposes a novel risk definition for portfolio selection with uncertain returns. A risk curve is introduced and a new safe criterion for judging the portfolio investment is proposed.

引用

页码：719 / 727

页数：9

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