Empirical Research of Portfolio Selection under M-SAD Model

Peng Zhang; Jing Yi Zhou

doi:10.4028/www.scientific.net/AMM.380-384.4409

Paper Titles

Testing Research of Physical and Mechanical Properties of Snows on Railroad Switch
p.4387

Research on the Trends of Photonic Crystal Polarization Maintaining Fibers
p.4391

Analysis of the Rate Constant for Hydration Kinetics of the Cement and Ash Fly in the Solidified Residues System Based on the Measurement of Ca(OH)₂
p.4395

Research on the Finite Element Method of Reinforced Concrete Member in Bending Oblique Section Bearing Capacity
p.4400

Empirical Research of Portfolio Selection under M-SAD Model
p.4409

Game Analysis of Photovoltaic Enterprise Competitive Strategy Based on Technology Innovation
p.4413

Supply Chain Financing Model: Based on China's Agricultural Products Supply Chain
p.4417

The Market Application Analysis of CAPM Model
p.4422

Guarantee Industries Credit Evaluation Research of Risk Management Perspective
p.4426

HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 380-384Empirical Research of Portfolio Selection under...

Empirical Research of Portfolio Selection under M-SAD Model

Abstract:

The mean semi-absolute deviation is the extension and development from the mean-variance theory which proposed by Markowitz. This paper studied the Mean-SAD (semi-variance deviation) model without the short selling and used the Chinese securities markets 20 stocks to test the efficient of the model. We got the conclusion that M-SAD model can effectively direct the decision in portfolio selection. Based on the result of the empirical research, the paper prospects the application of M-SAD model in our country.

You might also be interested in these eBooks

View Preview

Info:

Periodical:

Applied Mechanics and Materials (Volumes 380-384)

Pages:

4409-4412

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.380-384.4409

Citation:

Cite this paper

Online since:

August 2013

Authors:

Peng Zhang, Jing Yi Zhou

Keywords:

M-SAD, Portfolio Selection, Risk Elastic, Short Sale

Export:

RIS, BibTeX

Price:

Permissions CCC:

Request Permissions

Permissions PLS:

Request Permissions

Сopyright:

Citation:

References

[1] Zhang Peng, Zhang Zhong-zhen, Yue Chao-yuan. Optimization of the Mean Semi-absolute Deviation Portfol io Selection Model with the Restricted Short Selling Based on the Pivoting Algorithm [J]. Chinese Journal of Management Science, 2006, 1: 7—10. (in Chinese).

Google Scholar

[2] Inuiguchi, M., Ramik, J.: Possibilistic Linear Programming: A Brief Review of Fuzzy Mathematical Programming and a Comparison with Stochastic Program-ming in Portfolio Selection Problem. Fuzzy Sets and Systems 111 (2000) 3–28.

DOI: 10.1016/s0165-0114(98)00449-7

Google Scholar

[3] Markowitz H．Portfolio selection[J]．The Journal of Finance, 1952, 7：77~91.

Google Scholar

[4] Kaplan, P. D., & Alldredge, R. H. (1997). Semivariance in risk-based index construction: Quantidex global indexes. The Journal of Investing, 6 , 82–87.

DOI: 10.3905/joi.1997.408419

Google Scholar

[4] Peng Zhang. The Research On the Multiperiod M-V Portfolio Selection Optimization by Discrete Approximate Iteration. Practice and cognition of mathematics, 2009, 39（8）, 44~52.

Google Scholar

[5] Shi nong Wu, Study on Chinese stock market risk [M]. China People's University Press, 2003, 33~50.

Google Scholar

[6] Alexander G J, Sharpe W F．Fundamentals of Investments[M]．New Jersey：Prentice-Hall, (1998).

Google Scholar

[7] Konno, H．, Yamazaki H．Mean-absolute Deviation Portfolio Optimization model and its applications to Tokyo stock market[J]．Management Science, 1991, 37(5)：519~531.

DOI: 10.1287/mnsc.37.5.519

Google Scholar

[8] Huang, X. (2008). Portfolio selection with a new definition of risk. European Journal of Operational Research, 186, 351–357.

DOI: 10.1016/j.ejor.2007.01.045

Google Scholar

[9] Dasheng Yuan, Dahong Shao, Shilian Yu. LINGO and EXCEL application in mathematical modeling [M]．Science Press, 2007, 1-50, 9-101.

Google Scholar