PORTFOLIO OPTIMIZATION USING INTERVAL ANALYSIS

被引：0

作者：

Serban, Florentin ^{[1
,2
]}

Costea, Adrian ^{[3
]}

Ferrara, Massimiliano ^{[4
]}

机构：

[1] Bucharest Univ Econ Studies, Dept Appl Math, Bucharest, Romania

[2] Univ Bucharest, Romanian Acad, Sch Math, Bucharest, Romania

[3] Bucharest Univ Econ Studies, Dept Stat & Econometr, Bucharest, Romania

[4] Univ Mediterranea Reggio Calabria, Dept Law & Econ, Reggio Di Calabria, Italy

来源：

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH | 2015年 / 49卷 / 01期

关键词：

portfolio optimization; interval analysis; interval linear programming; STOP-LOSS REINSURANCE; RISK MEASURES; RETENTION;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, a new model for solving portfolio optimization problems is proposed. Interval analysis and interval linear programming concepts are introduced and integrated in order to build an interval linear programming model. We develop an algorithm for solving portfolio optimization problems with the coefficients of the constraints and the coefficients of the objective function modeled by interval numbers. The theoretical results obtained are used to solve a case study.

引用

页数：16

共 24 条

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[2]

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[3]

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[4]

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[6]

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[8]

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[9]

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[10]

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