Abstract
Sensitivity Analysis is a method to evaluate the influence of each variable change. In portfolio selection model, it is essential to evaluate the sensitivity of each stock or security return rate in investment decision making. Investors look for selecting stable stocks or securities. For this purpose, sensitivity analysis should play a pivotal role. It is important for the decision-making to get both sensitivity and stability of each selection. This paper proposes a new portfolio-selection model (PSM) called the sensitivity-based portfolio selection models (SPSM). The SPSM model will focus on the sensitivity of the selected portfolio. In order to analyze the sensitivity of portfolio selection models, a sensitivity analysis will be introduced for calculating out insensitive stocks or securities with maximum return and minimum risk. Abstract environment.
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Zhang, H., Watada, J., Li, Y., Li, Y., Wang, B. (2015). Building a Sensitivity-Based Portfolio Selection Models. In: Neves-Silva, R., Jain, L., Howlett, R. (eds) Intelligent Decision Technologies. IDT 2017. Smart Innovation, Systems and Technologies, vol 39. Springer, Cham. https://doi.org/10.1007/978-3-319-19857-6_57
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DOI: https://doi.org/10.1007/978-3-319-19857-6_57
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Online ISBN: 978-3-319-19857-6
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