One Type of Optimal Portfolio Selection in Birandom Environments

  •  Limei Yan    


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.

This work is licensed under a Creative Commons Attribution 4.0 License.