Portfolio selection with a new definition of risk

被引：66
|
作者：
Huang, Xiaoxia [1 ]
机构：
[1] Univ Sci & Technol Beijing, Sch Econ & Management, Beijing 100083, Peoples R China
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2008年 / 186卷 / 01期
关键词：
portfolio selection; random programming; risk analysis; investment; optimization;
D O I：
10.1016/j.ejor.2007.01.045
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In the field of portfolio selection, variance, semivariance and probability of an adverse outcome are three best-known mathematical definitions of risk. Lots of models were built to minimize risk based on these definitions. This paper gives a new definition of risk for portfolio selection and proposes a new type of model based on this definition. In addition, a hybrid intelligent algorithm is employed to solve the optimization problem in general cases. One numerical example is also presented for the sake of illustration. (c) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：351 / 357
页数：7
相关论文
共 50 条
  • [41] Portfolio Selection, Periodic Evaluations and Risk Taking
    Tse, Alex S. L.
    Zheng, Harry
    OPERATIONS RESEARCH, 2023, 71 (06) : 2078 - 2091
  • [42] RISK AVERSION IN CHANCE CONSTRAINED PORTFOLIO SELECTION
    PYLE, DH
    TURNOVSK.SJ
    MANAGEMENT SCIENCE SERIES A-THEORY, 1971, 18 (03): : 218 - 225
  • [43] RISK SEEKER PORTFOLIO SELECTION AND LENDER CONSTRAINTS
    FINDLAY, MC
    WILLIAMS, EE
    SOUTHERN ECONOMIC JOURNAL, 1976, 42 (03) : 515 - 520
  • [44] THE MODEL WITH BACKGROUND RISK FOR UNCERTAIN PORTFOLIO SELECTION
    Zhai, Jia
    Bai, Manying
    Hao, Junzhang
    ICIM'2016: PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON INDUSTRIAL MANAGEMENT, 2016, : 440 - 445
  • [45] Risk forecasting models and optimal portfolio selection
    Moreno, D
    Marco, P
    Olmeda, I
    APPLIED ECONOMICS, 2005, 37 (11) : 1267 - 1281
  • [46] Risk measures and optimal portfolio selection.
    Dhaene, J
    Vanduffel, S
    Tang, QH
    Goovaerts, MJ
    Kaas, R
    Vyncke, D
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 425 - 425
  • [47] A NEW PARADIGM FOR PORTFOLIO RISK
    JEFFREY, RH
    JOURNAL OF PORTFOLIO MANAGEMENT, 1984, 11 (01): : 33 - 40
  • [48] A risk index model for uncertain portfolio selection with background risk
    Huang, Xiaoxia
    Jiang, Guowei
    Gupta, Pankaj
    Mehlawat, Mukesh Kumar
    COMPUTERS & OPERATIONS RESEARCH, 2021, 132
  • [49] Selection of Supplier Portfolio in the Presence of Operational Risk and Disruption Risk
    Liao, Xiangxiang
    Fang, Chao
    2015 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT (IEEM), 2015, : 1825 - 1829
  • [50] A New, New Definition of Evolution by Natural Selection
    Blute M.
    Biological Theory, 2019, 14 (4) : 280 - 281
12345