A new portfolio selection model with interval-typed random variables and the empirical analysis

被引：3
|
作者：
Li, Chunquan [1 ,2 ]
Jin, Jianhua [2 ]
机构：
[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Sichuan, Peoples R China
[2] Southwest Petr Univ, Coll Sci, Chengdu 610500, Sichuan, Peoples R China
来源：
SOFT COMPUTING | 2018年 / 22卷 / 03期
基金：
美国国家科学基金会;
关键词：
Portfolio selection; Interval numbers; Probabilistic measure; Risk; Returns; Assets; VALUE-AT-RISK; OPTIMIZATION; RETURNS; MANAGEMENT;
D O I：
10.1007/s00500-016-2396-3
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper proposes a new portfolio selection model, where the goal is to maximize the expected portfolio return and meanwhile minimize the risks of all the assets. The average return of every asset is considered as an interval number, and the risk of every asset is treated by probabilistic measure. An algorithm for solving the portfolio selection problem is given. Then a Pareto-maximal solution could be obtained under order relations between interval numbers. Finally, the empirical analysis is presented to show the feasibility and robustness of the model.
引用
收藏
页码：905 / 920
页数：16
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