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dc.contributor.authorSun, Y.
dc.contributor.authorAw, Ee-Ling Grace
dc.contributor.authorTeo, Kok Lay
dc.contributor.authorTeo, Kok Lay
dc.contributor.authorZhou, Guanglu
dc.date.accessioned2017-01-30T11:28:31Z
dc.date.available2017-01-30T11:28:31Z
dc.date.created2015-08-03T20:01:39Z
dc.date.issued2015
dc.identifier.citationSun, Y. and Aw, E.G. and Teo, K.L. and Teo, K.L. and Zhou, G. 2015. Portfolio optimization using a new probabilistic risk measure. Journal of Industrial and Management Optimization (JIMO). 11 (4): pp. 1275-1283.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/12065
dc.identifier.doi10.3934/jimo.2015.11.1275
dc.description.abstract

In this paper, we introduce a new portfolio selection method. Our method is innovative and flexible. An explicit solution is obtained, and the selection method allows for investors with dierent degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization problem which maximizes the expected portfolio return and minimizes the maximum individual risk of the assets in the portfolio. The ecient frontier using our method is compared with various ecient frontiers in the literature and found to be superior to others in the mean-variance space.

dc.publisherAmerican Institute of Mathematical Sciences
dc.titlePortfolio optimization using a new probabilistic risk measure
dc.typeJournal Article
dcterms.source.volume11
dcterms.source.number4
dcterms.source.startPage1275
dcterms.source.endPage1283
dcterms.source.issn1553-166X
dcterms.source.titleJournal of Industrial and Management Optimization (JIMO)
curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusOpen access via publisher


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