A semi-variance portfolio selection model for military investment assets

Authors:
Sang-Chin Yang;Ting-Li Lin;Tun-Jen Chang;Kuang-Jung Chang
Affiliations:
Department of Computer Science, Chung Cheng Institute of Technology, National Defense University, Taiwan;Department of Business Administration, Ming Chuan University, Taiwan;Department of International Business, Shih Chien University, Taiwan;Graduate School of Defense Science, Chung Cheng Institute of Technology, National Defense University, Taiwan
Venue:
Expert Systems with Applications: An International Journal
Year:
2011

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Abstract

This paper discusses the portfolio selection for military investment assets based on semi-variance as a measure of risk. In this paper we propose a new definition of military investment assets for portfolio selection. Based on the new definition, a semi-variance model is provided. In order to give efficient portfolios to the risk model, the heuristic algorithms are proposed to solve the portfolio selection problem which is otherwise hard to solve with the existing algorithms in traditional ways. In addition, a measure of risk including cardinality constraints is provided for portfolio selection problem. The cardinality constraints intensify the compatibility of the risk model in a portfolio problem. One numerical example of weighted allocations taking different risk values is also given to illustrate the quantitative idea for decision maker in military investment assets.