Empirical Research of Portfolio Selection under M-SAD Model

DOI

10.2991/icsem.2013.135How to use a DOI?

Keywords

portfolio selection,M-SAD,risk elastic,short sale

Abstract

The mean semi-absolute deviation is the extension and development from the mean-variance theory which proposed by Markowitz. This paper studied the Mean-SAD (semi-variance deviation) model without the short selling and used the Chinese securities market’s 20 stocks to test the efficient of the model. We got the conclusion that M-SAD model can effectively direct the decision in portfolio selection. Based on the result of the empirical research, the paper prospects the application of M-SAD model in our country.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Peng Zhang
AU  - Jingyi Zhou
PY  - 2013/04
DA  - 2013/04
TI  - Empirical Research of Portfolio Selection under M-SAD Model
BT  - Proceedings of the 2nd International Conference On Systems Engineering and Modeling (ICSEM 2013)
PB  - Atlantis Press
SP  - 666
EP  - 670
SN  - 1951-6851
UR  - https://doi.org/10.2991/icsem.2013.135
DO  - 10.2991/icsem.2013.135
ID  - Zhang2013/04
ER  -