The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns
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...
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| Format: | Article |
| Language: | English |
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Wiley
2013-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2013/236579 |
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| _version_ | 1850164206664417280 |
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| author | Guohua Cao Dan Shan |
| author_facet | Guohua Cao Dan Shan |
| author_sort | Guohua Cao |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-ea9b2d748be84caa9892e4fce8a330af |
| institution | OA Journals |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-ea9b2d748be84caa9892e4fce8a330af2025-08-20T02:22:02ZengWileyJournal of Applied Mathematics1110-757X1687-00422013-01-01201310.1155/2013/236579236579The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom ReturnsGuohua Cao0Dan Shan1School of Economics and Business Administration, Chongqing University, Room 240, No. 12, Dormitory Building, Area A, Shapingba District, Chongqing 400030, ChinaSchool of Economics and Business Administration, Chongqing University, Room 240, No. 12, Dormitory Building, Area A, Shapingba District, Chongqing 400030, ChinaThe 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.http://dx.doi.org/10.1155/2013/236579 |
| spellingShingle | Guohua Cao Dan Shan The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns Journal of Applied Mathematics |
| title | The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns |
| title_full | The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns |
| title_fullStr | The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns |
| title_full_unstemmed | The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns |
| title_short | The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns |
| title_sort | effect of exit strategy on optimal portfolio selection with birandom returns |
| url | http://dx.doi.org/10.1155/2013/236579 |
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