A class of linear interval programming problems and its application to portfolio selection

Author

Lai, K.K. ; Wang, S.Y. ; Xu, J.P. ; Zhu, S.S. ; Fang, Y.

Author_Institution

Dept. of Manage. Sci., City Univ. of Hong Kong, Kowloon, China

Volume

10

Issue

6

fYear

2002

fDate

12/1/2002 12:00:00 AM

Firstpage

698

Lastpage

704

Abstract

This paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a model for portfolio selection based on the semiabsolute deviation measure of risk, which can be transformed to a linear interval programming model studied in the paper. The method is illustrated by solving a simplified portfolio selection problem.

Keywords

constraint theory; investment; linear programming; stock markets; Shanghai Stock Exchange; capital markets; constraints; interval coefficients; linear interval programming problems; objective functions; order relations; parametric linear programming problem; portfolio selection; semiabsolute deviation risk measure; uncertain returns of assets; Decision making; Distribution functions; Finance; Linear programming; Mathematical programming; Mathematics; Portfolios; Possibility theory; Uncertainty;

fLanguage

English

Journal_Title

Fuzzy Systems, IEEE Transactions on

Publisher

ieee

ISSN

1063-6706

Type

jour

DOI

10.1109/TFUZZ.2002.805902

Filename

1097770