A Two-Phase Approach for Portfolio Selection with Interval Coefficients

The future returns of each securities cannot be correctly reflected by the data in the past, there for the expert´s judgement and experience should be considered to estimate the security returns in the future. In this paper, we study mean-semi absolute deviation portfolio selection problem when both the expected return and semi absolute deviation of each underlying asset and vary in estimated intervals. By using the two-phase approach, we solve this problem and get the optimal solution. Finally, an example is given to illustrate our results.