Interval portfolio selection models within the framework of uncertainty theory

Xiang Li and Zhongfeng Qin

Economic Modelling, 2014, vol. 41, issue C, 338-344

Abstract: The expected returns for securities are traditionally estimated as crisp values. Since the improper values may bring on an unsuccessful investment decision, portfolio experts generally prefer offering interval estimations for expected returns rather than crisp ones. The portfolio selection problem with interval expected returns is widely studied recently. In this paper, by considering the security returns with interval expected returns as uncertain variables, a mean-semiabsolute deviation model is proposed within the framework of uncertainty theory, which is a crisp nonlinear programming model and can be well solved by the classical optimization algorithms. In order to illustrate the method, some numerical experiments are given and solved.

Keywords: Portfolio selection; Uncertainty modeling; Uncertain variable; Uncertain measure; Semiabsolute deviation (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999314002156
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:41:y:2014:i:c:p:338-344

DOI: 10.1016/j.econmod.2014.05.036

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().