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A class of linear interval programming problems and its application to portfolio selection
Lai, KK; Wang, SY; Xu, JP; Zhu, SS; Fang, Y
2002-12-01
Source PublicationIEEE TRANSACTIONS ON FUZZY SYSTEMS
ISSN1063-6706
Volume10Issue:6Pages:698-704
AbstractThis paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a model for portfolio selection based on the semiabsolute deviation measure of risk, which can be transformed to a linear interval programming model studied in the paper. The method is illustrated by solving a simplified portfolio selection problem.
Keywordinterval order relation portfolio selection
DOI10.1109/TFUZZ.2002.805902
Language英语
WOS Research AreaComputer Science ; Engineering
WOS SubjectComputer Science, Artificial Intelligence ; Engineering, Electrical & Electronic
WOS IDWOS:000179696600002
PublisherIEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/17134
Collection系统科学研究所
Corresponding AuthorLai, KK
Affiliation1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
3.Sichuan Univ, Inst Informat & Decis Making, Chengdu 610065, Peoples R China
Recommended Citation
GB/T 7714
Lai, KK,Wang, SY,Xu, JP,et al. A class of linear interval programming problems and its application to portfolio selection[J]. IEEE TRANSACTIONS ON FUZZY SYSTEMS,2002,10(6):698-704.
APA Lai, KK,Wang, SY,Xu, JP,Zhu, SS,&Fang, Y.(2002).A class of linear interval programming problems and its application to portfolio selection.IEEE TRANSACTIONS ON FUZZY SYSTEMS,10(6),698-704.
MLA Lai, KK,et al."A class of linear interval programming problems and its application to portfolio selection".IEEE TRANSACTIONS ON FUZZY SYSTEMS 10.6(2002):698-704.
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