An Efficient Portfolio with Several Objectives and Varying Parameters

被引：2

作者：

Jana, Mrinal ^{[1
]}

Panda, Geetanjali ^{[2
]}

Agrawal, Neelesh ^{[3
]}

机构：

[1] Univ Petr & Energy Studies, Dept Math, Dehra Dun 248007, Uttarakhand, India

[2] Indian Inst Technol Kharagpur, Dept Math, Kharagpur 721302, W Bengal, India

[3] Indian Inst Technol Kharagpur, Dept Civil Engn, Kharagpur 721302, W Bengal, India

来源：

INTERNATIONAL JOURNAL OF MATHEMATICAL ENGINEERING AND MANAGEMENT SCIENCES | 2018年 / 3卷 / 04期

关键词：

Nonlinear interval programming; Multi-objective optimization; Portfolio selection; Forecasting; Efficient portfolio;

D O I：

10.33889/IJMEMS.2018.3.4-024

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

We investigate a portfolio selection model with several objective functions, whose coefficients are uncertain and vary between some bounds. A preferable efficient portfolio of the model is obtained, which provides the range within which the portfolio return and the moments would vary. An optimal portfolio for the forecasted returns of stocks is found with actual market data from the Bombay Stock Exchange, India.

引用

页码：335 / 350

页数：16

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