Portfolio Selection Models Based on Interval Numbers

被引：0
|
作者：
Li, Chunquan [1 ,2 ]
Wang, Dingcheng [1 ]
Jin, Jianhua [2 ]
机构：
[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Peoples R China
[2] Southwest Petr Univ, Coll Sci, Chengdu 610500, Peoples R China
来源：
2015 11TH INTERNATIONAL CONFERENCE ON NATURAL COMPUTATION (ICNC) | 2015年
关键词：
Portfolio selection; Interval numbers; Risk; Returns; Assets; FUZZY; OPTIMIZATION;
D O I：
暂无
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
This paper establishes a new model for portfolio selection in which the returns and risk of assets are treated as interval numbers respectively. We develop an algorithm for solving portfolio selection problems, which can be transformed to a classical linear programming. The method obtained is illustrated by a case study.
引用
收藏
页码：349 / 353
页数：5
相关论文
共 50 条
  • [1] Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach
    Guo, Haifeng
    Sun, BaiQing
    Karimi, Hamid Reza
    Ge, Yuanjing
    Jin, Weiquan
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2012, 2012
  • [2] A Portfolio Selection Model Based on the Interval Number
    Hu, Jiangshan
    Sui, Yunyun
    Ma, Fang
    [J]. Mathematical Problems in Engineering, 2021, 2021
  • [3] A Portfolio Selection Model Based on the Interval Number
    Hu, Jiangshan
    Sui, Yunyun
    Ma, Fang
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2021, 2021
  • [4] Interval portfolio selection models within the framework of uncertainty theory
    Li, Xiang
    Qin, Zhongfeng
    [J]. ECONOMIC MODELLING, 2014, 41 : 338 - 344
  • [5] A New Portfolio Selection Method Based on Interval Data
    Andreica, Madalina Ecaterina
    Dobre, Ion
    Andreica, Mugurel Ionut
    Resteanu, Cornel
    [J]. STUDIES IN INFORMATICS AND CONTROL, 2010, 19 (03): : 253 - 262
  • [6] An interval portfolio selection problem based on regret function
    Giove, S
    Funari, S
    Nardelli, C
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2006, 170 (01) : 253 - 264
  • [7] On interval portfolio selection problem
    Wu, Meng
    Kong, De-wang
    Xu, Jiu-ping
    Huang, Nan-jing
    [J]. FUZZY OPTIMIZATION AND DECISION MAKING, 2013, 12 (03) : 289 - 304
  • [8] On interval portfolio selection problem
    Meng Wu
    De-wang Kong
    Jiu-ping Xu
    Nan-jing Huang
    [J]. Fuzzy Optimization and Decision Making, 2013, 12 : 289 - 304
  • [9] Portfolio selection based on possibilistic mean and variance of fuzzy numbers
    Zhang, WG
    Nie, ZK
    [J]. PROCEEDINGS OF THE 7TH JOINT CONFERENCE ON INFORMATION SCIENCES, 2003, : 1149 - 1152
  • [10] Fuzzy mean-variance-skewness portfolio selection models by interval analysis
    Bhattacharyya, Rupak
    Kar, Samarjit
    Majumder, Dwijesh Dutta
    [J]. COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2011, 61 (01) : 126 - 137
12345