文章基本信息

标题：Stochastic Portfolio Selection Problem with Reliability Criteria
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作者：Xiangsong Meng ; Lixing Yang
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2016
卷号：2016
DOI：10.1155/2016/8417643
出版社：Hindawi Publishing Corporation
摘要：Portfolio selection focuses on allocating the capital to a set of securities such that the profit or the risks can be optimized. Due to the uncertainty of the real-world life, the return parameters always take uncertain information in the realistic environments because of the scarcity of the a priori knowledge or uncertain disturbances. This paper particularly considers a portfolio selection process in the stochastic environment, where the return parameters are characterized by sample-based correlated random variables. To decrease the decision risks, three evaluation criteria are proposed to generate the reliable portfolio selection plans, including max-min reliability criterion, percentile reliability criterion, and expected disutility criterion. The equivalent linear (mixed integer) programming models are also deduced for different evaluation strategies. A genetic algorithm with a polishing strategy is designed to search for the approximate optimal solutions of the proposed models. Finally, a series of numerical experiments are implemented to demonstrate the effectiveness and performance of the proposed approaches.