Proceedings of the 2015 International conference on Applied Science and Engineering Innovation

Mean-risk model for portfolio selection with uncertain returns

Authors
Wei Li, Weiyi Qian, Mingqiang Yin
Corresponding Author
Wei Li
Available Online May 2015.
DOI
10.2991/asei-15.2015.350How to use a DOI?
Keywords
Portfolio selection, uncertain measure, uncertain programming, Risk measure.
Abstract

This paper discusses the uncertain portfolio selection problem when security returns are hard to be well reflected by historical data. In portfolio selection, risk analysis is one of the most important topics and research on quantitative definition of risk remains core of the topic. A new risk measure is introduced in this paper. Based on the new risk function, a mean risk model is proposed. In addition, the gravitation search algorithm is introduced to solve the proposed model. Finally, a numerical example is given to illustrate the modelling idea and the availability of the algorithm.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 International conference on Applied Science and Engineering Innovation
Series
Advances in Engineering Research
Publication Date
May 2015
ISBN
978-94-62520-94-3
ISSN
2352-5401
DOI
10.2991/asei-15.2015.350How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Wei Li
AU  - Weiyi Qian
AU  - Mingqiang Yin
PY  - 2015/05
DA  - 2015/05
TI  - Mean-risk model for portfolio selection with uncertain returns
BT  - Proceedings of the 2015 International conference on Applied Science and Engineering Innovation
PB  - Atlantis Press
SP  - 1764
EP  - 1767
SN  - 2352-5401
UR  - https://doi.org/10.2991/asei-15.2015.350
DO  - 10.2991/asei-15.2015.350
ID  - Li2015/05
ER  -