Portfolio selection under possibilistic mean-variance utility and a SMO algorithm

被引：62
|
作者：
Zhang, Wei-Guo [1 ]
Zhang, Xi-Li [1 ]
Xiao, Wei-Lin [1 ]
机构：
[1] S China Univ Technol, Sch Business Adm, Guangzhou 510641, Peoples R China
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2009年 / 197卷 / 02期
基金：
中国国家自然科学基金; 中国博士后科学基金;
关键词：
Possibilistic distribution; Portfolio selection; Mean-variance utility; Parametric quadratic programming; Sequential minimal optimization (SMO); POSSIBILITY DISTRIBUTIONS; EFFICIENT FRONTIER; BOUNDED ASSETS; MODELS; INFORMATION;
D O I：
10.1016/j.ejor.2008.07.011
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we propose a new portfolio selection model with the maximum utility based on the interval-valued possibilistic mean and possibilistic variance, which is a two-parameter quadratic programming problem. We also present a sequential minimal optimization (SMO) algorithm to obtain the optimal portfolio. The remarkable feature of the algorithm is that it is extremely easy to implement, and it can be extended to any size of portfolio selection problems for finding an exact optimal solution. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：693 / 700
页数：8
相关论文
共 50 条
  • [31] Mean-variance portfolio selection under partial information with drift uncertainty
    Xiong, Jie
    Xu, Zuo Quan
    Zheng, Jiayu
    QUANTITATIVE FINANCE, 2021, 21 (09) : 1461 - 1473
  • [32] Continuous-time mean-variance portfolio selection under inflation
    Yao, H.-X. (yaohaixiang@mail.gdufs.edu.cn), 1600, Northeast University (28):
  • [33] Mean-variance portfolio selection with regime switching under shorting prohibition
    Zhang, Miao
    Chen, Ping
    OPERATIONS RESEARCH LETTERS, 2016, 44 (05) : 658 - 662
  • [34] Portfolio selection with parameter uncertainty under α maxmin mean-variance criterion
    Yu, Xingying
    Shen, Yang
    Li, Xiang
    Fan, Kun
    OPERATIONS RESEARCH LETTERS, 2020, 48 (06) : 720 - 724
  • [35] ROBUST MEAN-VARIANCE PORTFOLIO SELECTION WITH WARD AND COMPLETE LINKAGE CLUSTERING ALGORITHM
    La Gubu
    Rosadi, Dedi
    Abdurakhman
    ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2020, 54 (03): : 111 - 127
  • [36] Mean-Variance Portfolio Selection with Tracking Error Penalization
    Lefebvre, William
    Loeper, Gregoire
    Pham, Huyen
    MATHEMATICS, 2020, 8 (11) : 1 - 23
  • [37] MEAN-VARIANCE PORTFOLIO SELECTION WITH RANDOM INVESTMENT HORIZON
    Liu, Jingzhen
    Yiu, Ka-Fai Cedric
    Li, Xun
    Siu, Tak Kuen
    Teo, Kok Lay
    JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2023, 19 (07) : 4726 - 4739
  • [38] Dynamic mean-variance portfolio selection with borrowing constraint
    Fu, Chenpeng
    Lari-Lavassani, Ali
    Li, Xun
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 200 (01) : 312 - 319
  • [39] Tail mean-variance portfolio selection with estimation risk
    Huang, Zhenzhen
    Wei, Pengyu
    Weng, Chengguo
    INSURANCE MATHEMATICS & ECONOMICS, 2024, 116 : 218 - 234
  • [40] Minimax mean-variance models for fuzzy portfolio selection
    Huang, Xiaoxia
    SOFT COMPUTING, 2011, 15 (02) : 251 - 260
12345