Portfolio selection problem with interval coefficients

被引：61

作者：

Ida, M ^{[1
]}

机构：

[1] Natl Inst Acad Degress, Tokyo 1120012, Japan

来源：

APPLIED MATHEMATICS LETTERS | 2003年 / 16卷 / 05期

关键词：

portfolio selection; mean-variance analysis; multiple objective problem; interval coefficient; robust solution;

D O I：

10.1016/S0893-9659(03)00071-5

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate the portfolio selection problem with interval objective function coefficients as a multiple objective problem including uncertainties. Robust efficient solutions, Pareto optimal for all possible perturbation of coefficients within given intervals, are secure and conservative solutions. Using preference cones we show that the robust efficient solutions can be identified by working with only a finite subset of the possible perturbations of the coefficients. (C) 2003 Elsevier Science Ltd. All rights reserved.

引用

页码：709 / 713

页数：5