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 di$cult 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.
['Yusen Xia', 'Baoding Liu', 'Shouyang Wang', 'Kin Keung Lai']
A model for portfolio selection with order of expected returns