A model for portfolio selection with order of expected returns
文献类型：期刊论文
| 作者 | Xia, YS; Liu, BD; Wang, SY; Lai, KK |
| 刊名 | COMPUTERS & OPERATIONS RESEARCH
 |
| 出版日期 | 2000-04-01 |
| 卷号 | 27期号:5页码:409-422 |
| 关键词 | portfolio optimization bi-objective programming genetic algorithm |
| ISSN号 | 0305-0548 |
| 英文摘要 | This paper proposes a new model for portfolio selection in which the expected returns of securities are considered as variables rather than as the arithmetic means of securities. A genetic algorithm is designed to solve the optimization problem which is difficult to solve with the existing traditional algorithms due to its nonconcavity and special structure. We illustrate the new model by a numerical example and compare the results with those derived from the traditional model of Markowitz. Scope and purpose Portfolio selection, originally articulated by Markowitz, has been one of the most important research fields in modern finance. Several new models and extensions such as the inclusion of transaction costs and taxes have been proposed to improve the performance of portfolio investment. All those models and extensions have advantages and disadvantages in both theory and practical applications. The purpose of this paper is to describe the return and risk of a portfolio more accurately. On the basis of an order of expected returns of securities, we propose a new model for portfolio selection. (C) 2000 Elsevier Science Ltd. All rights reserved. |
| WOS研究方向 | Computer Science ; Engineering ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000085784600002 |
| 出版者 | PERGAMON-ELSEVIER SCIENCE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/15255]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wang, SY |
| 作者单位 | 1.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China 2.Tsing Hua Univ, Dept Appl Math, Beijing 100084, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xia, YS,Liu, BD,Wang, SY,et al. A model for portfolio selection with order of expected returns[J]. COMPUTERS & OPERATIONS RESEARCH,2000,27(5):409-422. |
| APA | Xia, YS,Liu, BD,Wang, SY,&Lai, KK.(2000).A model for portfolio selection with order of expected returns.COMPUTERS & OPERATIONS RESEARCH,27(5),409-422. |
| MLA | Xia, YS,et al."A model for portfolio selection with order of expected returns".COMPUTERS & OPERATIONS RESEARCH 27.5(2000):409-422. |
入库方式： OAI收割
来源：数学与系统科学研究院
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