Abstract
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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
