Title :
Optimal Investment Decision of Security Investment Fund Based on the Experiment Design
Author :
Cheng Wei ; Wang Jin-Yu ; Ma Jing-ting
Author_Institution :
Inst. of Bus. Adm., Shenyang Univ., Shenyang
Abstract :
This paper is on how to build an investment model of security investment fund which will produce the maximum in profits. The deficiencies in Markowitzpsilas portfolio selection decision model are analysed. In this paper, the writers use nonlinear and dynamic model depending on Return-Variance model under the limited condition to decide how to invest. The design method of fund portfolio is presented which can optimize portfolio gain with the mixture experience design applying.
Keywords :
design of experiments; investment; security; Markowits portfolio selection decision model; experiment design; optimal investment decision; return-variance model; security investment fund; Aerodynamics; Aerospace engineering; Design methodology; Design optimization; Investments; Portfolios; Random variables; Research and development management; Risk management; Security; nonlinear fractional programming; portfolio selection; security investment fund; the mixture experiment design;
Conference_Titel :
Risk Management & Engineering Management, 2008. ICRMEM '08. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3402-2
DOI :
10.1109/ICRMEM.2008.51
