Empirical Research of Portfolio Selection under M-SAD Model
Authors
Peng Zhang, Jingyi Zhou
Corresponding Author
Peng Zhang
Available Online April 2013.
- DOI
- 10.2991/icsem.2013.135How to use a DOI?
- Keywords
- portfolio selection,M-SAD,risk elastic,short sale
- Abstract
The mean semi-absolute deviation is the extension and development from the mean-variance theory which proposed by Markowitz. This paper studied the Mean-SAD (semi-variance deviation) model without the short selling and used the Chinese securities market’s 20 stocks to test the efficient of the model. We got the conclusion that M-SAD model can effectively direct the decision in portfolio selection. Based on the result of the empirical research, the paper prospects the application of M-SAD model in our country.
- Copyright
- © 2013, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Peng Zhang AU - Jingyi Zhou PY - 2013/04 DA - 2013/04 TI - Empirical Research of Portfolio Selection under M-SAD Model BT - Proceedings of the 2nd International Conference On Systems Engineering and Modeling (ICSEM 2013) PB - Atlantis Press SP - 666 EP - 670 SN - 1951-6851 UR - https://doi.org/10.2991/icsem.2013.135 DO - 10.2991/icsem.2013.135 ID - Zhang2013/04 ER -