OPTIMAL PORTFOLIO SELECTION BASED ON SATISFACTION INDEX

摘要：

　　In this paper,optimal portfolio selection with uncertain returns is studied,and corresponding model based on the satisfaction index is proposed.In the model,the risk is taken as the sum of the absolute deviation of the risky assets in stead of covariance,the transaction cost is taken as v-shaped function of the difference between the existing and new portfolio.An efficient way is given to transform a non-linear problem into a linear problem,which alleviate the computational difficulty greatly.Numerical result showed that the proposed method is capable of helping investor to find efficient portfolios according to his/her preference.

关键词： Portfolio selection decision making transaction cost satisfaction index linear programming

作者: Hong-Wei Liu

作者单位: School of Information, Beijing Wuzi University, Beijing 101149, China

会议类型: 国际会议

会议名称: 11th International Symposium on Operations Research and its Applications(第11届运筹学及其应用国际研讨会)

会议地点: 安徽黄山

会议语种:英文

页码: 165-169

在线出版日期: 2013-08-23（万方平台首次上网日期，不代表论文的发表时间）