Sensitivity analysis for mean-variance portfolio problems
Management Science
SIAM Journal on Numerical Analysis
A model for portfolio selection with order of expected returns
Computers and Operations Research
Fuzzy Sets and Systems - Fuzzy mathematical programming
A class of linear interval programming problems and its application to portfolio selection
IEEE Transactions on Fuzzy Systems
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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).