One Type of Optimal Portfolio Selection in Birandom Environments

Limei Yan

Modern Applied Science, 2009, vol. 3, issue 6, 126

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.

Date: 2009
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