A Portfolio Model Based on the Minimaz Risk and Return Factors
Based on the analysis of minimax portfolio selection model proposed by Yong, a new risk function is designed with risk factor and extra return factor. The risk factor is used to adjust the effect of asset return level on the investment decision, and the extra return factor is for controlling the effect of portfolio promising profits on the investment decision. Furthermore, a portfolio selection model is proposed based on the new risk measure. The model is solved by transforming it into a linear programming model. By experiments with actual data of the stock market, this proposed model shows its effectiveness and practicability.
Portfolio Value at Risk Risk Factor Return Factor Linear Programming
Pingping Lin Shu-an Liu Qing Wang
College of Information Science & Engineering,Northeastern University,Shenyang,110004 China
国际会议
2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)
广西桂林
英文
4767-4771
2009-06-17（万方平台首次上网日期，不代表论文的发表时间）