Abstract
The future returns of each securities cannot be correctly reflected by the data in the past, therefore the expert's judgements and experiences should be considered to estimate the security returns for the future. In this paper, we propose an interval portfolio selection model in which both the returns and the risks of assets are defined as intervals. By using interval and convex analysis, we solve this model and get the noninferior solution. Finally, an example is given to illustrate our results. The interval portfolio selection model improves and generalizes the Markowitz's mean-variance model and the results of Deng et al. (Eur J Oper Res 166(1):278---292, 2005).
Sign-in/Register to access full text options 
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.
