An interval portfolio selection model with liquidity constraints

We discusses an interval portfolio selection model with liquidity constraints. By using semiabsolute deviation as the risk measure, an interval mean-semiabsolute deviation model is proposed. In order to describe the differences of interval inequality relation, we introduce the concept of satisfactory degree. The noninferior solutions of this model are defined based on the order relation and on the satisfactory degree, and can be found by solving a parametric linear programming.