TY - GEN
T1 - Building a sensitivity-based portfolio selection models
AU - Zhang, Huiming
AU - Watada, Junzo
AU - Li, Ye
AU - Li, You
AU - Wang, Bo
PY - 2015
Y1 - 2015
N2 - Sensitivity Analysis is a method to evaluate the influence of each variable change. In portfolio selection model, it is essential to evaluate the sensitivity of each stock or security return rate in investment decision making. Investors look for selecting stable stocks or securities. For this purpose, sensitivity analysis should play a pivotal role. It is important for the decision-making to get both sensitivity and stability of each selection. This paper proposes a new portfolio-selection model (PSM) called the sensitivity-based portfolio selection models (SPSM). The SPSM model will focus on the sensitivity of the selected portfolio. In order to analyze the sensitivity of portfolio selection models, a sensitivity analysis will be introduced for calculating out insensitive stocks or securities with maximum return and minimum risk. Abstract environment.
AB - Sensitivity Analysis is a method to evaluate the influence of each variable change. In portfolio selection model, it is essential to evaluate the sensitivity of each stock or security return rate in investment decision making. Investors look for selecting stable stocks or securities. For this purpose, sensitivity analysis should play a pivotal role. It is important for the decision-making to get both sensitivity and stability of each selection. This paper proposes a new portfolio-selection model (PSM) called the sensitivity-based portfolio selection models (SPSM). The SPSM model will focus on the sensitivity of the selected portfolio. In order to analyze the sensitivity of portfolio selection models, a sensitivity analysis will be introduced for calculating out insensitive stocks or securities with maximum return and minimum risk. Abstract environment.
KW - Portfolio selection model
KW - Sensitivity analysis
KW - Value at risk (VaR)
UR - http://www.scopus.com/inward/record.url?scp=84944457290&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84944457290&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-19857-6_57
DO - 10.1007/978-3-319-19857-6_57
M3 - Conference contribution
AN - SCOPUS:84944457290
SN - 9783319198569
VL - 39
T3 - Smart Innovation, Systems and Technologies
SP - 673
EP - 681
BT - Smart Innovation, Systems and Technologies
PB - Springer Science and Business Media Deutschland GmbH
T2 - 7th KES International Conference on Intelligent Decision Technologies, KES-IDT 2015
Y2 - 17 June 2015 through 19 June 2015
ER -