Expected value model for portfolio selection based on risk curve in birandom environments
In order to solve the portfolio problem when security returns are birandom variables,firstly we propose a definition of risk on the basis of the average chance of birandom variable,then one type of portfolio selection based on expected value and risk is provided according to birandom theory.Furthermore,A hybrid intelligent algorithm integrating birandom simulation and genetic algorithm is designed.Finally,one numerical experiment is provided to illustrate the effectiveness of the hybrid intelligent algorithm.
birandom variable portfolio selection expected value operator confidence curve hybrid intelligent algorithm
Limei Yan
Department of MathematicsDezhou University,Dezhou,253023,China
国内会议
济南
英文
215-220
2009-05-15（万方平台首次上网日期，不代表论文的发表时间）