An interval semi-absolute deviation model for portfolio selection

Authors:
Yong Fang;Shouyang Wang
Affiliations:
Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China
Venue:
FSKD'06 Proceedings of the Third international conference on Fuzzy Systems and Knowledge Discovery
Year:
2006

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Abstract

Interval number is a kind of special fuzzy number and the interval approach is a good method to deal with some uncertainty. The semi-absolute deviation risk function is extended to an interval case. Based on the extended semi-absolute deviation risk function, an interval semi-absolute deviation model for portfolio selection is proposed. By introducing the concepts of pessimistic satisfactory index and optimistic satisfactory index of interval inequality relation, an approach to compare interval numbers is given. The interval portfolio selection problem is converted to two parametric linear programming problems. A numerical example is given to illustrate the behavior of the proposed portfolio selection model.