Probabilistic approach for optimal portfolio selection using a hybrid Monte Carlo simulation and Markowitz model
In this paper, a probabilistic form of the portfolio selection problem is established in which the uncertainty of risky assets is considered through a probabilistic optimization problem. To this end, by taking seven portfolios of Shanghai stock as a case study, the mean and standard deviation of dai...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-10-01
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| Series: | Alexandria Engineering Journal |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1110016820302118 |