Global optimisation of a portfolio adjustment problem under credibility measures

Andreas Lundell and Kaj-Mikael Björk

International Journal of Operational Research, 2016, vol. 25, issue 4, 464-474

Abstract: In this paper it is shown how to find the guaranteed ε-optimal solution to the credibilistic portfolio adjustment problem in the formulation presented by Zhang et al. (2010). In its crisp form, the problem is a non-convex signomial programming problem. This type of problem is difficult to solve to global optimality and solving it using a non-global solver may give suboptimal solutions. Using the signomial global optimisation (SGO) algorithm, it is however possible to reformulate the problem into a convex problem whose feasible region overestimates that of the non-convex problem in an extended variable space. The overestimation is iteratively reduced until the global solution is found. To illustrate the procedure, the SGO algorithm is applied to the example in the original article. It is shown that the solutions presented were only local ones, and the global solution corresponding to better portfolio adjustment strategies is given.

Keywords: global optimisation; signomial functions; portfolio adjustment; possibility theory; credibility theory; credibility measures. (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=75292 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijores:v:25:y:2016:i:4:p:464-474

Access Statistics for this article

More articles in International Journal of Operational Research from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().