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
  • [41] A Nonlinear Interval Portfolio Selection Model and Its Application in Banks
    Dawen Yan
    Yaxing Hu
    Kinkeung Lai
    Journal of Systems Science and Complexity, 2018, 31 : 696 - 733
  • [42] A Nonlinear Interval Portfolio Selection Model and Its Application in Banks
    YAN Dawen
    HU Yaxing
    Lai Kinkeung
    JournalofSystemsScience&Complexity, 2018, 31 (03) : 696 - 733
  • [43] The cost of delay as risk measure in target-based multi-period portfolio selection models
    Liu, Jia
    Chen, Zhiping
    Consigli, Giorgio
    IMA JOURNAL OF MANAGEMENT MATHEMATICS, 2024, 35 (03) : 345 - 377
  • [44] A perceptual computer for hierarchical portfolio selection based on interval type-2 fuzzy sets
    Mohsen Karimi
    Hooman Tahayori
    Kayvan Tirdad
    Alireza Sadeghian
    Granular Computing, 2023, 8 : 23 - 43
  • [45] A perceptual computer for hierarchical portfolio selection based on interval type-2 fuzzy sets
    Karimi, Mohsen
    Tahayori, Hooman
    Tirdad, Kayvan
    Sadeghian, Alireza
    GRANULAR COMPUTING, 2023, 8 (01) : 23 - 43
  • [46] Multi-period portfolio selection with interval-based conditional value-at-risk
    Gomez, Alvaro A.
    Consigli, Giorgio
    Liu, Jia
    ANNALS OF OPERATIONS RESEARCH, 2024,
  • [47] Linear Programming for Portfolio Selection Based on Fuzzy Decision-Making Theory
    Liu, Hong-Wei
    OPERATIONS RESEARCH AND ITS APPLICATIONS: IN ENGINEERING, TECHNOLOGY AND MANAGEMENT, 2011, 14 : 195 - 202
  • [48] An integrated generalized TODIM model for portfolio selection based on financial performance of firms
    Wu, Qun
    Liu, Xinwang
    Qin, Jindong
    Zhou, Ligang
    Mardani, Abbas
    Deveci, Muhammet
    KNOWLEDGE-BASED SYSTEMS, 2022, 249
  • [49] Uncertain portfolio selection with mental accounts
    Huang, Xiaoxia
    Di, Hao
    INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2020, 51 (12) : 2079 - 2090
  • [50] On admissible efficient portfolio selection: Models and algorithms
    Zhang, Wei-Guo
    Liu, Wen-An
    Wang, Ying-Luo
    APPLIED MATHEMATICS AND COMPUTATION, 2006, 176 (01) : 208 - 218
12345