Probability Criterion Model for Portfolio Selection and Its Solution Using GASS II
Wansheng Tang · Jisuanji gongcheng · 2006
Considering portfolio selection issue with the realistic environments of the stock exchange market in China,this paper presents probability criterion model of portfolio selection.The experimental distribution acquired on real history data is adopted to approach the real distribution and stratified sampling technique is employed.GASS II(genetic algorithm with stochastic simulation of stratified sampling intelligently integrated) is constructed to solve the probability criterion model.A demonstration with bearable return-loss risk efficient frontier is provided.