Advanced Modeling and Optimization

Abstract for Paper 10 of Volume 4, Number 1, 2002, pp. 111-121

A model for portofolio selection based on investment efficiency


Jianhua Zeng
Institute of Systems Science,
Academy of Mathematics and Systems Sciences,
Chinese Academy of Sciences, Beijing 100080, China
Shouyang Wang
Institute of Systems Science,
Academy of Mathematics and Systems Sciences,
Chinese Academy of Sciences, Beijing 100080, China
Jinwu Gao
Department of Mathematical Sciences,
Tsinghua University,
Beijing 100084, China
Abstract

In this paper, we propose a new model for portofolio selection based on investment efficiency. The relations between this model and the other two mean-variance models are discussed. To solve the proposed fractional programming model, a hybrid intelligent algorithm is designed. A numerical example is also given to illustrate the proposed approach.