Portfolio selection under possibilistic mean-variance utility and a SMO algorithm

被引：65
|
作者：
Zhang, Wei-Guo [1 ]
Zhang, Xi-Li [1 ]
Xiao, Wei-Lin [1 ]
机构：
[1] S China Univ Technol, Sch Business Adm, Guangzhou 510641, Peoples R China
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2009年 / 197卷 / 02期
基金：
中国博士后科学基金; 中国国家自然科学基金;
关键词：
Possibilistic distribution; Portfolio selection; Mean-variance utility; Parametric quadratic programming; Sequential minimal optimization (SMO); POSSIBILITY DISTRIBUTIONS; EFFICIENT FRONTIER; BOUNDED ASSETS; MODELS; INFORMATION;
D O I：
10.1016/j.ejor.2008.07.011
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we propose a new portfolio selection model with the maximum utility based on the interval-valued possibilistic mean and possibilistic variance, which is a two-parameter quadratic programming problem. We also present a sequential minimal optimization (SMO) algorithm to obtain the optimal portfolio. The remarkable feature of the algorithm is that it is extremely easy to implement, and it can be extended to any size of portfolio selection problems for finding an exact optimal solution. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：693 / 700
页数：8
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