Portfolio selection using mean-risk model and mean-risk diversification model

2012 ◽  
Vol 14 (3) ◽  
pp. 324
Author(s):  
Akhter Mohiuddin Rather
Keyword(s):  
Portfolio Selection ◽  
Risk Model ◽  
Risk Diversification ◽  
Mean Risk

scholarly journals Uncertain Portfolio Selection with Background Risk and Liquidity Constraint

2017 ◽  
Vol 2017 ◽  
pp. 1-10 ◽  
Author(s):  
Jia Zhai ◽  
Manying Bai
Keyword(s):  
Transaction Costs ◽  
Portfolio Selection ◽  
Risk Model ◽  
Background Risk ◽  
Asset Return ◽  
Uncertain Variables ◽  
Asset Liquidity ◽  
Security Returns ◽  
The Impact ◽  
Mean Risk

This paper discusses an uncertain portfolio selection problem with consideration of background risk and asset liquidity. In addition, the transaction costs are also considered. The security returns, background asset return, and asset liquidity are estimated by experienced experts instead of historical data. Regarding them as uncertain variables, a mean-risk model with background risk, liquidity, and transaction costs is proposed for portfolio selection and the crisp forms of the model are provided when security returns obey different uncertainty distributions. Moreover, for better understanding of the impact of background risk and liquidity on portfolio selection, some important theorems are proved. Finally, numerical experiments are presented to illustrate the modeling idea.

scholarly journals Study on the Confidence and Reliability of the Mean Seismic Probability Risk Model

2017 ◽  
Vol 2017 ◽  
pp. 1-9
Author(s):  
Xiao-Lei Wang ◽  
Da-Gang Lu
Keyword(s):  
Seismic Design ◽  
Confidence Level ◽  
Risk Model ◽  
Safety Evaluation ◽  
Design Parameters ◽  
Critical Infrastructures ◽  
High Confidence ◽  
Confidence Levels ◽  
The Mean ◽  
Mean Risk

The mean seismic probability risk model has widely been used in seismic design and safety evaluation of critical infrastructures. In this paper, the confidence levels analysis and error equations derivation of the mean seismic probability risk model are conducted. It has been found that the confidence levels and error values of the mean seismic probability risk model are changed for different sites and that the confidence levels are low and the error values are large for most sites. Meanwhile, the confidence levels of ASCE/SEI 43-05 design parameters are analyzed and the error equation of achieved performance probabilities based on ASCE/SEI 43-05 is also obtained. It is found that the confidence levels for design results obtained using ASCE/SEI 43-05 criteria are not high, which are less than 95%, while the high confidence level of the uniform risk could not be achieved using ASCE/SEI 43-05 criteria and the error values between risk model with target confidence level and mean risk model using ASCE/SEI 43-05 criteria are large for some sites. It is suggested that the seismic risk model considering high confidence levels instead of the mean seismic probability risk model should be used in the future.

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