Proceedings of the 2015 International Conference on Economy, Management and Education Technology

Mean-risk model for portfolio selection with uncertain returns

Authors
Wei Li, Weiyi Qian, Mingqiang Yin
Corresponding Author
Wei Li
Available Online August 2015.
DOI
https://doi.org/10.2991/icemet-15.2015.79How 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.
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Proceedings
2015 International Conference on Economy, Management and Education Technology
Part of series
Advances in Social Science, Education and Humanities Research
Publication Date
August 2015
ISBN
978-94-62520-97-4
ISSN
2352-5398
DOI
https://doi.org/10.2991/icemet-15.2015.79How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Wei Li
AU  - Weiyi Qian
AU  - Mingqiang Yin
PY  - 2015/08
DA  - 2015/08
TI  - Mean-risk model for portfolio selection with uncertain returns
BT  - 2015 International Conference on Economy, Management and Education Technology
PB  - Atlantis Press
SN  - 2352-5398
UR  - https://doi.org/10.2991/icemet-15.2015.79
DO  - https://doi.org/10.2991/icemet-15.2015.79
ID  - Li2015/08
ER  -