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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[Anonymous], 1959, Efficient Diversification of Investments
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Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R ChinaChinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
Cai, XQ
Teo, KL
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机构:Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
Teo, KL
Yang, XQ
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机构:Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
Yang, XQ
Zhou, XY
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机构:Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
机构:Sun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China
Deng, XT
Li, ZF
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Sun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R ChinaSun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China
Li, ZF
Wang, SY
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机构:Sun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China
机构:
Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R ChinaChinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
Cai, XQ
Teo, KL
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机构:Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
Teo, KL
Yang, XQ
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机构:Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
Yang, XQ
Zhou, XY
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机构:Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
机构:Sun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China
Deng, XT
Li, ZF
论文数: 0引用数: 0
h-index: 0
机构:
Sun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R ChinaSun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China
Li, ZF
Wang, SY
论文数: 0引用数: 0
h-index: 0
机构:Sun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China