Minimum Volatility of Anticipated Regret Model for Portfolio Selection

摘要：

Based on the Regret Theory, we explore a mathematical model to quantify anticipated regret, from which the optimal portfolio strategy based on the minimum volatility of anticipated regret is derived using PSO algorithm. We make a comparision between our model and the mean variance model, meanwhile, analyse effects of different degrees of anticpated regret on the optimal portfolio strategies obtained from the minimum volatility of anticipated regret under the same expected rate of return of the portfolio through empirical analysis. We find that if we take anticipated regret into account , the optimal proportion allocated in different risk-type assets will have a significant change, thus the overall risk and return of the portfolio.

关键词： anticipated regret PSO optimal portfolio strategy comparision

作者: Gao Jianwei Duan Yachun

作者单位: North China Electric Power University, Beijing, 102206, China

会议类型: 国际会议

会议名称: 2010 International Conference on Intelligent Computation Technology and Automation(2010 智能计算技术与自动化国际会议 ICICTA 2010)

会议地点: 长沙

会议语种:英文

页码: 1849-1852

在线出版日期: 2010-05-11（万方平台首次上网日期，不代表论文的发表时间）