One Type of Optimal Portfolio Selection in Birandom Environments

Limei Yan

Abstract


In order to solve the portfolio problem when security returns are birandom variables, firstly we propose a new definition of risk, then one type of portfolio selection based on expected value and risk is provided according to birandom theory. Furthermore, A hybrid intelligent algorithm by integrating birandom simulation and genetic algorithm is designed. Finally, one numerical experiment is provided to illustrate the effectiveness of the hybrid intelligent algorithm.


Full Text: PDF DOI: 10.5539/mas.v3n6p126

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This work is licensed under a Creative Commons Attribution 3.0 License.

Modern Applied Science   ISSN 1913-1844 (Print)   ISSN 1913-1852 (Online)

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