Article ID Journal Published Year Pages File Type
5077212 Insurance: Mathematics and Economics 2011 8 Pages PDF
Abstract
► We propose two credibilistic portfolio adjusting models with additional risk assets and capital. ► We employ a quadratic programming solution algorithm for obtaining optimal adjusting strategy. ► Additional risk assets and capital increase expected return of portfolio at the same risk.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
Authors
, , ,