A class of linear interval programming problems and its application to portfolio selection

doi:10.1109/TFUZZ.2002.805902

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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
发表期刊	IEEE TRANSACTIONS ON FUZZY SYSTEMS
ISSN	1063-6706
卷号	10 期号:6 页码:698-704
摘要	This 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.
关键词	interval order relation portfolio selection
DOI	10.1109/TFUZZ.2002.805902
语种	英语
WOS研究方向	Computer Science ; Engineering
WOS类目	Computer Science, Artificial Intelligence ; Engineering, Electrical & Electronic
WOS记录号	WOS:000179696600002
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/17134
专题	系统科学研究所
通讯作者	Lai, KK
作者单位	1.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
推荐引用方式 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.