A Portfolio Selection Problem For Uncertain Markets

Authors

Kai Yao, Department of Mathematical Sciences, Tsinghua University, Beijing 100084, ChinaFollow

Document Type

Article

Abstract

This paper studies a portfolio selection problem for uncertain markets via uncertainty theory. It first introduces a multi-factor stock model in uncertain market by means of uncertain differential equations. Then a portfolio selection problem is derived and some numerical examples are illustrated. Finally, some remarks are made in the concluding section.

Recommended Citation

Yao, Kai, "A Portfolio Selection Problem For Uncertain Markets" (2011). ICEB 2011 Proceedings (Bangkok). 31.
https://aisel.aisnet.org/iceb2011/31