期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 197, 期 2, 页码 693-700出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ejor.2008.07.011
关键词
Possibilistic distribution; Portfolio selection; Mean-variance utility; Parametric quadratic programming; Sequential minimal optimization (SMO)
资金
- National Natural Science Foundation of China [70571024]
- NCET [06-0749]
- China Postdoctoral Science Foundation [2005037241]
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.
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