Building a sensitivity-based portfolio selection models

Huiming Zhang*, Junzo Watada, Ye Li, You Li, Bo Wang

*この研究の対応する著者

    研究成果: Conference contribution

    1 被引用数 (Scopus)

    抄録

    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.

    本文言語English
    ホスト出版物のタイトルSmart Innovation, Systems and Technologies
    出版社Springer Science and Business Media Deutschland GmbH
    ページ673-681
    ページ数9
    39
    ISBN(印刷版)9783319198569
    DOI
    出版ステータスPublished - 2015
    イベント7th KES International Conference on Intelligent Decision Technologies, KES-IDT 2015 - Sorrento, Italy
    継続期間: 2015 6 172015 6 19

    出版物シリーズ

    名前Smart Innovation, Systems and Technologies
    39
    ISSN(印刷版)21903018
    ISSN(電子版)21903026

    Other

    Other7th KES International Conference on Intelligent Decision Technologies, KES-IDT 2015
    国/地域Italy
    CitySorrento
    Period15/6/1715/6/19

    ASJC Scopus subject areas

    • コンピュータ サイエンス(全般)
    • 決定科学(全般)

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