Title :
Portfolio selection models based on interval numbers
Author :
Chunquan Li; Dingcheng Wang; Jianhua Jin
Author_Institution :
School of Mathematical Sciences, University of Electronic, Science and Technology of China, Chengdu, 611731, China
Abstract :
This paper establishes a new model for portfolio selection in which the returns and risk of assets are treated as interval numbers respectively. We develop an algorithm for solving portfolio selection problems, which can be transformed to a classical linear programming. The method obtained is illustrated by a case study.
Keywords :
"Portfolios","Gold","Linear programming","Chlorine","Investment","Optimization","Programming"
Conference_Titel :
Natural Computation (ICNC), 2015 11th International Conference on
Electronic_ISBN :
2157-9563
DOI :
10.1109/ICNC.2015.7378015
