A Portfolio Selection Model Based on the Mean Semi-absolute Value Deviation
Jianyuan Huang · Science Technology and Engineering · 2012
From incsforis psychological feelings,considenzg tjhe loss averison phenonenon,Applying the thought of value function of prospect theory,the tradeoff factor is introduced,used the membership function to describe the value satisfaction of the benefits and risks,and set up a portfolio selection model based on the mean semi-absolute value deviation.Selecting 20 as the choice securities from the Shanghai Stock 30 Index,through empirical analysis,compared to semi-absolute deviation model,it is show that this model is feasible,and can reflect investors' psychological feeling of loss well