Optimal Portfolio Selection Models with Uncertain Returns
نویسندگان
چکیده
منابع مشابه
A novel risk definition for portfolio selection with uncertain returns
Portfolio selection is concerned with optimization of capital allocation to a large number of securities. In portfolio selection, risk analysis is one of the most important topics and research on quantitative definition of risk remains core of the topic. This paper proposes a novel risk definition for portfolio selection with uncertain returns. A risk curve is introduced and a new safe criterio...
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The mean-variance model proposed by Markowitz has received greatly acceptance as a practical methodology to manage portfolio selection, and has been widely extended in a variety of literatures. The aim of this paper is to extend the mean-variance model in uncertain decision systems. We present a new mean-TVaR model for portfolio selection when the returns of securities are described as uncertai...
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ژورنال
عنوان ژورنال: Modern Applied Science
سال: 2009
ISSN: 1913-1852,1913-1844
DOI: 10.5539/mas.v3n8p76