Table of Contents Author Guidelines Submit a Manuscript
Discrete Dynamics in Nature and Society
Volume 2016, Article ID 8417643, 11 pages
Research Article

Stochastic Portfolio Selection Problem with Reliability Criteria

1Department of Economic Management, North China Electric Power University, Baoding 071003, China
2State Key Laboratory of Rail Traffic Control and Safety, Beijing Jiaotong University, Beijing 100044, China

Received 8 October 2015; Accepted 7 February 2016

Academic Editor: Kamel Barkaoui

Copyright © 2016 Xiangsong Meng and Lixing Yang. 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.


Portfolio selection focuses on allocating the capital to a set of securities such that the profit or the risks can be optimized. Due to the uncertainty of the real-world life, the return parameters always take uncertain information in the realistic environments because of the scarcity of the a priori knowledge or uncertain disturbances. This paper particularly considers a portfolio selection process in the stochastic environment, where the return parameters are characterized by sample-based correlated random variables. To decrease the decision risks, three evaluation criteria are proposed to generate the reliable portfolio selection plans, including max-min reliability criterion, percentile reliability criterion, and expected disutility criterion. The equivalent linear (mixed integer) programming models are also deduced for different evaluation strategies. A genetic algorithm with a polishing strategy is designed to search for the approximate optimal solutions of the proposed models. Finally, a series of numerical experiments are implemented to demonstrate the effectiveness and performance of the proposed approaches.