Portfolio selection with a new definition of risk

被引：66
|
作者：
Huang, Xiaoxia [1 ]
机构：
[1] Univ Sci & Technol Beijing, Sch Econ & Management, Beijing 100083, Peoples R China
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2008年 / 186卷 / 01期
关键词：
portfolio selection; random programming; risk analysis; investment; optimization;
D O I：
10.1016/j.ejor.2007.01.045
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In the field of portfolio selection, variance, semivariance and probability of an adverse outcome are three best-known mathematical definitions of risk. Lots of models were built to minimize risk based on these definitions. This paper gives a new definition of risk for portfolio selection and proposes a new type of model based on this definition. In addition, a hybrid intelligent algorithm is employed to solve the optimization problem in general cases. One numerical example is also presented for the sake of illustration. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：351 / 357
页数：7
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