Journal of Applied Mathematics

  • J. Appl. Math.
  • Volume 2013, Special Issue (2013), Article ID 236579, 6 pages.

The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns

Guohua Cao and Dan Shan

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Abstract

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.

Article information

Source
J. Appl. Math. Volume 2013, Special Issue (2013), Article ID 236579, 6 pages.

Dates
First available in Project Euclid: 14 March 2014

Permanent link to this document
http://projecteuclid.org/euclid.jam/1394807804

Digital Object Identifier
doi:10.1155/2013/236579

Mathematical Reviews number (MathSciNet)
MR3056202

Zentralblatt MATH identifier
1266.91094

Citation

Cao, Guohua; Shan, Dan. The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns. J. Appl. Math. 2013, Special Issue (2013), Article ID 236579, 6 pages. doi:10.1155/2013/236579. http://projecteuclid.org/euclid.jam/1394807804.


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