The effect of exit strategy on optimal portfolio selection with birandom returns. (English) Zbl 1266.91094

Summary: 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.


91G10 Portfolio theory
Full Text: DOI


[1] M. Douglas, Trading in the Zone, Prentice Hall, New York, NY, USA, 1st edition, 2000. · Zbl 1120.62320
[2] H. Markowitz, “Portfolio selection,” Journal of Finance, vol. 7, no. 1, pp. 77-91, 1952.
[3] D. Da-Yong and J. Wei-Dong, “A subjective model of the distribution of returns and empirical analysis,” Chinese Journal of Management Science, vol. 15, pp. 112-120, 2007.
[4] L. Mei-Yan, X. Hong-Gang, and Z. Feng-Qun, “Statisticsal analysis of return rates of shanghai stock market price integrated index,” Operations Research and Management Science, vol. 14, pp. 115-119, 2005.
[5] F. Jian-Qiang and W. Fu-Xin, “A research on return distribution function of chinese stock-market,” Chinese Journal of Management Science, vol. 11, pp. 82-90, 2007.
[6] J. Li, J. Xu, and M. Gen, “A class of multiobjective linear programming model with fuzzy random coefficients,” Mathematical and Computer Modelling, vol. 44, no. 11-12, pp. 1097-1113, 2006. · Zbl 1165.90701
[7] X. Huang, “A new perspective for optimal portfolio selection with random fuzzy returns,” Information Sciences, vol. 177, no. 23, pp. 5404-5414, 2007. · Zbl 1304.91195
[8] L. Mei-Yan, “Chance-constrained portfolio selection with birandom returns,” Modern Applied Science, vol. 3, no. 4, pp. 161-165, 2009. · Zbl 1170.91401
[9] L. Mei-Yan, “One type of optimal portfolio selection in birandom environments,” Modern Applied Science, vol. 3, no. 6, pp. 121-126, 2009. · Zbl 1171.91346
[10] A. D. Roy, “Safety-first and the holding of assets,” Econometrica, vol. 20, no. 3, pp. 431-449, 1952. · Zbl 0047.38805
[11] D. H. Pyle and S. J. Turnovsky, “Safety-first and expected utility maximization in mean-standard deviation portfolio analysis,” The Review of Economics and Statistics, vol. 52, no. 1, pp. 75-81, 1970.
[12] Z. Yong-Fen, “Based on the safety first chance constrained dynamic portfolio research problems,” Modern Economic Information, vol. 18, pp. 32-33, 2009.
[13] P. Jin and L. Bao-Ding, “Birandom variables and birandom programming,” Computers and Industrial Engineering, vol. 53, no. 3, pp. 433-453, 2007.
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.