This paper discusses a portfolio selection problem in which security returns are given by experts’ evaluations instead of historical data. A factor method for evaluating security returns based on experts’ judgment is proposed and a mean-chance model for optimal portfolio selection is...

This paper discusses a portfolio adjusting problem with additional risk assets and a riskless asset in the situation where security returns are given by experts' evaluations rather than historical data. Uncertain variables are employed to describe the security returns. Using expected value and...