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
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