期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 186, 期 1, 页码 351-357出版社
ELSEVIER
DOI: 10.1016/j.ejor.2007.01.045
关键词
portfolio selection; random programming; risk analysis; investment; optimization
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.
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