An interval linear programming approach for portfolio selection model
From MaRDI portal
Publication:2627753
DOI10.1504/IJOR.2016.10000053zbMath1362.90282OpenAlexW2501400388MaRDI QIDQ2627753
Pankaj Kumar, Geetanjali Panda, U. C. Gupta
Publication date: 31 May 2017
Published in: International Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1504/ijor.2016.10000053
uncertaintyfinancial marketsportfolio selectioninterval linear programmingorder relationrisk levelssemi-absolute deviationasset investmentstotal expected returns
Linear programming (90C05) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items
Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters, Multiobjective efficient portfolio selection with bounded parameters, Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis, Multi-objective enhanced interval optimization problem, The outcome range problem in interval linear programming, Quantifying outcome functions of linear programs: an approach based on interval-valued right-hand sides, Interval linear programming under transformations: optimal solutions and optimal value range, Solving nonlinear interval optimization problem using stochastic programming technique, Checking weak optimality and strong boundedness in interval linear programming, An efficient solution of nonlinear enhanced interval optimization problems and its application to portfolio optimization