About this Journal Submit a Manuscript Table of Contents
Journal of Applied Mathematics
Volume 2013 (2013), Article ID 236579, 6 pages
http://dx.doi.org/10.1155/2013/236579
Research Article

The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns

School of Economics and Business Administration, Chongqing University, Room 240, No. 12, Dormitory Building, Area A, Shapingba District, Chongqing 400030, China

Received 18 October 2012; Revised 15 April 2013; Accepted 17 April 2013

Academic Editor: Xiaojun Wang

Copyright © 2013 Guohua Cao and Dan Shan. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. M. Douglas, Trading in the Zone, Prentice Hall, New York, NY, USA, 1st edition, 2000. View at Zentralblatt MATH
  2. H. Markowitz, “Portfolio selection,” Journal of Finance, vol. 7, no. 1, pp. 77–91, 1952.
  3. D. Da-Yong and J. Wei-Dong, “A subjective model of the distribution of returns and empirical analysis,” Chinese Journal of Management Science, vol. 15, pp. 112–120, 2007.
  4. L. Mei-Yan, X. Hong-Gang, and Z. Feng-Qun, “Statisticsal analysis of return rates of shanghai stock market price integrated index,” Operations Research and Management Science, vol. 14, pp. 115–119, 2005.
  5. F. Jian-Qiang and W. Fu-Xin, “A research on return distribution function of chinese stock-market,” Chinese Journal of Management Science, vol. 11, pp. 82–90, 2007.
  6. J. Li, J. Xu, and M. Gen, “A class of multiobjective linear programming model with fuzzy random coefficients,” Mathematical and Computer Modelling, vol. 44, no. 11-12, pp. 1097–1113, 2006. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  7. X. Huang, “A new perspective for optimal portfolio selection with random fuzzy returns,” Information Sciences, vol. 177, no. 23, pp. 5404–5414, 2007. View at Publisher · View at Google Scholar · View at MathSciNet
  8. L. Mei-Yan, “Chance-constrained portfolio selection with birandom returns,” Modern Applied Science, vol. 3, no. 4, pp. 161–165, 2009.
  9. L. Mei-Yan, “One type of optimal portfolio selection in birandom environments,” Modern Applied Science, vol. 3, no. 6, pp. 121–126, 2009.
  10. A. D. Roy, “Safety-first and the holding of assets,” Econometrica, vol. 20, no. 3, pp. 431–449, 1952. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  11. D. H. Pyle and S. J. Turnovsky, “Safety-first and expected utility maximization in mean-standard deviation portfolio analysis,” The Review of Economics and Statistics, vol. 52, no. 1, pp. 75–81, 1970. View at Publisher · View at Google Scholar
  12. Z. Yong-Fen, “Based on the safety first chance constrained dynamic portfolio research problems,” Modern Economic Information, vol. 18, pp. 32–33, 2009.
  13. P. Jin and L. Bao-Ding, “Birandom variables and birandom programming,” Computers and Industrial Engineering, vol. 53, no. 3, pp. 433–453, 2007. View at Publisher · View at Google Scholar