On interval portfolio selection problem

The future returns of each securities cannot be correctly reflected by the data in the past, therefore the expert’s judgements and experiences should be considered to estimate the security returns for the future. In this paper, we propose an interval portfolio selection model in which both the returns and the risks of assets are defined as intervals. By using interval and convex analysis, we solve this model and get the noninferior solution. Finally, an example is given to illustrate our results. The interval portfolio selection model improves and generalizes the Markowitz’s mean-variance model and the results of Deng et al. (Eur J Oper Res 166(1):278–292, 2005).