Optimal Programming Models for Portfolio Selection with Uncertain Chance Constraint

Limei Yan

Modern Applied Science, 2009, vol. 3, issue 9, 84

Abstract: The paper is concerned with the portfolio selection problem about how to assign one’s money in security market in order to obtain the maximal profit. One type expected maximization programming model with chance constraint in which the security returns are uncertain variables are proposed in accordance with uncertainty theory. Since the provided models can not be solved by the traditional methods, the crisp equivalents of the corresponding models are discussed when the uncertain returns are chosen as some special cases such as linear uncertain variables, trapezoidal uncertain variables and normal uncertain variables. Two numerical examples with different types of uncertain variables are given in order to demonstrate the effectiveness and feasibility of the proposed programming models. Finally, the paper gives the conclusion.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ccsenet.org/journal/index.php/mas/article/download/3808/3419 (application/pdf)
https://ccsenet.org/journal/index.php/mas/article/view/3808 (text/html)

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:ibn:masjnl:v:3:y:2009:i:9:p:84

Access Statistics for this article

More articles in Modern Applied Science from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().