Efficient portfolio for interval Sharpe ratio model

DOI10.1007/978-81-322-2452-5_5zbMATH Open1323.91041OpenAlexW1660803995WikidataQ57843398 ScholiaQ57843398MaRDI QIDQ3449409FDOQ3449409

Pankaj Kumar, Geetanjali Panda, Mrinal Jana

Publication date: 4 November 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-81-322-2452-5_5

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zbMATH Keywords

portfolio optimizationfractional programmingefficient portfoliointerval-valued functioninterval inequalities

Mathematics Subject Classification ID

Fractional programming (90C32) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• Introduction to Interval Analysis
• Generalized linear fractional programming under interval uncertainty
• Title not available (Why is that?)
• Nonlinear fractional programming problem with inexact parameter

Cited In (3)

• Multiobjective efficient portfolio selection with bounded parameters
• A robust Sharpe ratio
• Granularity Adjustment for Efficient Portfolios

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