{"title":"新的夏普比率相关的投资组合选择方法","authors":"Kei-Keung Hung, C. Cheung, L. Xu","doi":"10.1109/CIFER.2000.844594","DOIUrl":null,"url":null,"abstract":"In this paper, we formulate methods for portfolio selection for investors with different attitudes in the return-risk trade-off. We defined an objective function based on the Sharpe ratio (Sharpe, 1966) and downside risk (Fishburn, 1977), plus introducing two new terms called \"upside volatility\" and \"diversification\". We propose the maximization of the objective function WRT the portfolio weights as a method of determining suitable weights. We also propose practical methods for controlling the expected return while minimizing risk, of controlling risk while maximising expected return. Experiments showed that the proposed methods yielded successful results.","PeriodicalId":308591,"journal":{"name":"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)","volume":"67 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2000-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"25","resultStr":"{\"title\":\"New Sharpe-ratio-related methods for portfolio selection\",\"authors\":\"Kei-Keung Hung, C. Cheung, L. Xu\",\"doi\":\"10.1109/CIFER.2000.844594\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we formulate methods for portfolio selection for investors with different attitudes in the return-risk trade-off. We defined an objective function based on the Sharpe ratio (Sharpe, 1966) and downside risk (Fishburn, 1977), plus introducing two new terms called \\\"upside volatility\\\" and \\\"diversification\\\". We propose the maximization of the objective function WRT the portfolio weights as a method of determining suitable weights. We also propose practical methods for controlling the expected return while minimizing risk, of controlling risk while maximising expected return. Experiments showed that the proposed methods yielded successful results.\",\"PeriodicalId\":308591,\"journal\":{\"name\":\"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)\",\"volume\":\"67 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2000-03-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"25\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/CIFER.2000.844594\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CIFER.2000.844594","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
New Sharpe-ratio-related methods for portfolio selection
In this paper, we formulate methods for portfolio selection for investors with different attitudes in the return-risk trade-off. We defined an objective function based on the Sharpe ratio (Sharpe, 1966) and downside risk (Fishburn, 1977), plus introducing two new terms called "upside volatility" and "diversification". We propose the maximization of the objective function WRT the portfolio weights as a method of determining suitable weights. We also propose practical methods for controlling the expected return while minimizing risk, of controlling risk while maximising expected return. Experiments showed that the proposed methods yielded successful results.