doi:10.3850/978-981-08-5118-7_057


A Novel Risk Definition for Portfolio Selection with Uncertain Returns


Xiaoxia Huang

School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China.

hxiaoxia@manage.ustb.edu.cn

ABSTRACT

Portfolio selection is concerned with optimization of capital allocation to a large number of securities. In portfolio selection, risk analysis is one of the most important topics and research on quantitative definition of risk remains core of the topic. This paper proposes a novel risk definition for portfolio selection with uncertain returns. A risk curve is introduced and a new safe criterion for judging the portfolio investment is proposed.

Keywords: Risk curve, Portfolio selection, Uncertainty, Uncertain variable.


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