A model for portfolio selection with order of expected returns

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	A model for portfolio selection with order of expected returns
	Xia, YS ; Liu, BD ; Wang, SY ; Lai, KK
	2000-04-01
发表期刊	COMPUTERS & OPERATIONS RESEARCH
ISSN	0305-0548
卷号	27 期号:5 页码:409-422
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.
关键词	portfolio optimization bi-objective programming genetic algorithm
语种	英语
WOS研究方向	Computer Science ; Engineering ; Operations Research & Management Science
WOS类目	Computer Science, Interdisciplinary Applications ; Engineering, Industrial ; Operations Research & Management Science
WOS记录号	WOS:000085784600002
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15256
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.