Efficient portfolio for interval Sharpe ratio model

DOI10.1007/978-81-322-2452-5_5MaRDI QIDQ3449409zbMATH OpenOpenAlexWikidataFDO

Authors Mrinal Jana, Pankaj Kumar, Geetanjali Panda

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

zbMATH Keywords

efficient portfoliofractional programminginterval inequalitiesinterval-valued functionportfolio optimization

Mathematics Subject Classification ID

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

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Cites work

• Generalized linear fractional programming under interval uncertainty
• scientific article; zbMATH DE number 2035082 (Why is no real title available?)
• Introduction to Interval Analysis
• Nonlinear fractional programming problem with inexact parameter

Cited in

(5)

• Multiobjective efficient portfolio selection with bounded parameters
• A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem
• A robust Sharpe ratio
• Fractional optimization for a portfolio selection problem
• Granularity Adjustment for Efficient Portfolios

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