A model for portfolio selection with order of expected returns

This paper proposes a new model for portfolio selection in which the expected returns of securities are considered as variables rather than as the arithmetic means of securities. A genetic algorithm is designed to solve the optimization problem which is difficult to solve with the existing traditional algorithms due to its nonconcavity and special structure. We illustrate the new model by a numerical example and compare the results with those derived from the traditional model of Markowitz.