A semi-variance portfolio selection model for military investment assets

作者：Yang Sang Chin; Lin Ting Li; Chang Tun Jen; Chang Kuang Jung

来源：Expert Systems with Applications, 2011, 38(3): 2292-2301.

DOI：10.1016/j.eswa.2010.08.017

• Portfolio selection
• Military investment assets
• Semi-variance
• Heuristic algorithm
• Cardinality constrained

This paper discusses the portfolio selection for military investment assets based on semi-variance as a measure of risk. In this paper we propose a new definition of military investment assets for portfolio selection. Based on the new definition, a semi-variance model is provided. In order to give efficient portfolios to the risk model, the heuristic algorithms are proposed to solve the portfolio selection problem which is otherwise hard to solve with the existing algorithms in traditional ways. In addition, a measure of risk including cardinality constraints is provided for portfolio selection problem. The cardinality constraints intensify the compatibility of the risk model in a portfolio problem. One numerical example of weighted allocations taking different risk values is also given to illustrate the quantitative idea for decision maker in military investment assets.

• 出版日期2011-3