Mean-risk model for portfolio selection with uncertain returns
Wei Li, Weiyi Qian, Mingqiang Yin
Available Online August 2015.
- https://doi.org/10.2991/icemet-15.2015.79How to use a DOI?
- Portfolio selection; uncertain measure; uncertain programming; Risk measure.
- 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.
- 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 - Proceedings of the 2015 International Conference on Economy, Management and Education Technology PB - Atlantis Press SP - 369 EP - 373 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 -