 An interval linear programming approach for portfolio selection modelP. Kumar, G. Panda and U.C. Gupta International Journal of Operational Research, 2016, vol. 27, issue 1/2, 149-164 Abstract: Uncertainty plays an important role in predicting the future earning of the assets in the financial market and it is generally measured in terms of probability. But in some cases, it would be a good idea for an investor to state the expected returns on assets in the form of closed intervals. Therefore, in this paper, we consider a portfolio selection problem wherein expected return of any asset, risk level and proportion of total investment on assets are in the form of interval, and obtain an optimum (best) portfolio. Such portfolio gives the total expected return and proportion of total investment on assets in the form of interval. The proposed portfolio model is solved by considering an equivalent linear programming problem, where all the parameters of the objective function and constraints as well as decision variables are expressed in form of intervals. The procedure gives a strongly feasible optimal interval solution of such problem based on partial order relation between intervals. Efficacy of the results is demonstrated by means of numerical examples. Keywords: interval linear programming; order relation; portfolio selection; semi-absolute deviation; uncertainty; financial markets; total expected returns; risk levels; asset investments. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijores:v:27:y:2016:i:1/2:p:149-164 Access Statistics for this article More articles in International Journal of Operational Research from Inderscience Enterprises Ltd |
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