Portfolio optimization with uncertain investment expire time

摘要：

Risk control is an eternal topic in security investment a research focus in financial economics. Under the base of traditional Markowitz portfolio model, erect portfolio model with uncertainty of expire time by using of CVaR. Then solve the relevant empirical model by genetic algorithm, obtain the optimal allocation of the securities portfolio.

关键词： investment uncertain risk cvar ga

作者: Guo Zhi-gang Zhu Xiao-mei

作者单位: School of Economics and Management Southwest Petroleum University Chengdu, China School of Computer Science Southwest Petroleum University Chengdu, China

会议类型: 国际会议

会议名称: 2010 IEEE International Conference on Advanced Management Science(2010年IEEE高级管理科学国际会 IEEE ICAMS 2010)

会议地点: 成都

会议语种:英文

页码: 741-743

在线出版日期: 2010-07-09（万方平台首次上网日期，不代表论文的发表时间）