Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters

被引:3
作者
Kumar, P. [1 ]
Panda, G. [2 ]
Gupta, U. C. [2 ]
机构
[1] SRM Inst Sci & Technol, Dept Math, Madras, Tamil Nadu, India
[2] Indian Inst Technol, Dept Math, Kharagpur, W Bengal, India
来源
SADHANA-ACADEMY PROCEEDINGS IN ENGINEERING SCIENCES | 2018年 / 43卷 / 09期
关键词
Stochastic programming; minimax risk; portfolio optimization; interval analysis; TRANSACTION COSTS; SELECTION PROBLEM; ADJUSTING OPTIMIZATION; REBALANCING MODEL; VARIANCE; SKEWNESS; RULE;
D O I
10.1007/s12046-018-0902-2
中图分类号
T [工业技术];
学科分类号
08 ;
摘要
In this paper a portfolio optimization problem with bounded parameters is proposed taking into consideration the minimax risk measure, in which liquidity of the stocks is allied with selection of the portfolio. Interval uncertainty of the model is dealt with through a fusion between interval and random variable. As a result of this, the interval inequalities are converted to chance constraints. A solution methodology is developed using this concept to obtain an efficient portfolio. The theoretical developments are illustrated on a large data set taken from National Stock Exchange, India.
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页数:16
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