Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis

P. Kumar (), Jyotirmayee Behera and A. K. Bhurjee ()
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P. Kumar: SRM Institute of Science and Technology
Jyotirmayee Behera: SRM Institute of Science and Technology
A. K. Bhurjee: VIT Bhopal University

OPSEARCH, 2022, vol. 59, issue 1, No 3, 77 pages

Abstract: Abstract Portfolio optimization encompasses the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk. This paper focuses on a portfolio selection model with interval-typed random parameters considering risk measures as value-at-risk (VaR). The value-at-risk is expressed by means of the interval-typed of random parameters and associated with Markowitz’s model. The purpose of this opinion is to design an interval mean-VaR portfolio optimization model with the objective of minimization of VaR. A methodology is developed to obtain an efficient investment strategy using interval analysis with the parametric representation of the interval. The theoretical developments are illustrated based on a historical data set taken from the National Stock Exchange, India.

Keywords: Portfolio optimization; Expected return; Value-at-risk; Interval optimization; Interval analysis; 90-08; 90C90 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s12597-021-00531-7

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