The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-09
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
The aims of this paper are to use a birandom variable to denote the stock return selected by some recurring technical patterns and to study the effect of exit strategy on optimal portfolio selection with birandom returns.
Firstly, we propose a new method to estimate the stock return and use birandom distribution to denote the final stock return which can reflect the features of technical patterns and investors' heterogeneity simultaneously; secondly, we build a birandom safety-first model and design a hybrid intelligent algorithm to help investors make decisions; finally, we innovatively study the effect of exit strategy on the given birandom safety-first model.
The results indicate that (1) the exit strategy affects the proportion of portfolio, (2) the performance of taking the exit strategy is better than when the exit strategy is not taken, if the stop-loss point and the stop-profit point are appropriately set, and (3) the investor using the exit strategy become conservative.
American Psychological Association (APA)
Cao, Guo-Hua& Shan, Dan. 2013. The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-6.
https://search.emarefa.net/detail/BIM-456175
Modern Language Association (MLA)
Cao, Guo-Hua& Shan, Dan. The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns. Journal of Applied Mathematics No. 2013 (2013), pp.1-6.
https://search.emarefa.net/detail/BIM-456175
American Medical Association (AMA)
Cao, Guo-Hua& Shan, Dan. The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-6.
https://search.emarefa.net/detail/BIM-456175
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-456175