The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom ReturnsReport as inadecuate

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Journal of Applied MathematicsVolume 2013 2013, Article ID 236579, 6 pages

Research ArticleSchool of Economics and Business Administration, Chongqing University, Room 240, No. 12, Dormitory Building, Area A, Shapingba District, Chongqing 400030, China

Received 18 October 2012; Revised 15 April 2013; Accepted 17 April 2013

Academic Editor: Xiaojun Wang

Copyright © 2013 Guohua Cao and Dan Shan. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


The aims of this paper are to use a birandom variable to denote the stock return selected by some recurring technical patterns and to study the effect of exit strategy on optimal portfolio selection with birandom returns. Firstly, we propose a new method to estimate the stock return and use birandom distribution to denote the final stock return which can reflect the features of technical patterns and investors- heterogeneity simultaneously; secondly, we build a birandom safety-first model and design a hybrid intelligent algorithm to help investors make decisions; finally, we innovatively study the effect of exit strategy on the given birandom safety-first model. The results indicate that 1 the exit strategy affects the proportion of portfolio, 2 the performance of taking the exit strategy is better than when the exit strategy is not taken, if the stop-loss point and the stop-profit point are appropriately set, and 3 the investor using the exit strategy become conservative.

Author: Guohua Cao and Dan Shan



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