Mean Target Semi-Absolute Deviation Model for Portfolio Selection with Uncertain Returns

Ming Qiang Yin; Wei Yi Qian

doi:10.4028/www.scientific.net/AMR.1079-1080.707

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Mean Target Semi-Absolute Deviation Model for Portfolio Selection with Uncertain Returns

Abstract:

This paper discusses theuncertain portfolio selection problem when security returns are hard to be wellreflected by historical data. The security returns are regarded as uncertainvariables. A target semi-absolute deviation risk measure is introduced. Basedon the concept of target semi-absolute deviation, a mean target semi-absolutedeviation model is proposed. In addition, thegravitation search algorithm is introduced to solvethe proposed model. Finally, a numerical example is given to illustratethe application of the proposed model.