Uncertain portfolio selection based on VaRU

This paper discusses the VaRU minimization portfolio selection problem assuming that the return rates of risky securities are uncertain variables. Considering the realistic financial market, we propose a new model which adds the integer constraint of the transaction lot. Then the crisp form of the model is given. In the meanwhile, a revised branch-and-bound method is introduced in the paper. Finally, to illustrate the idea and application of the model, a numerical example is given.