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Optimal Portfolio Selection Models with Uncertain Returns

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  • Limei Yan

Abstract

This paper provides two new models for portfolio selection in which the securities are assumed to be uncertain variables that are neither random nor fuzzy. Since there is no efficient method to solve the proposed models, the original problems are transformed into their crisp equivalents programming when the returns are chosen some special uncertain variables such as rectangular uncertain variable, triangular uncertain variable, trapezoidal uncertain variable and normal uncertain variable. Finally, its feasibility and effectiveness of the method is illustrated by numerical example.

Suggested Citation

  • Limei Yan, 2009. "Optimal Portfolio Selection Models with Uncertain Returns," Modern Applied Science, Canadian Center of Science and Education, vol. 3(8), pages 1-76, August.
    • Handle: RePEc:ibn:masjnl:v:3:y:2009:i:8:p:76
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    References listed on IDEAS

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    1. Michael J. Best & Jaroslava Hlouskova, 2000. "The efficient frontier for bounded assets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 52(2), pages 195-212, November.
    2. Crama, Y. & Schyns, M., 2003. "Simulated annealing for complex portfolio selection problems," European Journal of Operational Research, Elsevier, vol. 150(3), pages 546-571, November.
    3. Mao, James C. T., 1970. "Models of Capital Budgeting, E-V VS E-S," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(5), pages 657-675, January.
    4. Huang, Xiaoxia, 2007. "Two new models for portfolio selection with stochastic returns taking fuzzy information," European Journal of Operational Research, Elsevier, vol. 180(1), pages 396-405, July.
    5. Huang, Xiaoxia, 2008. "Portfolio selection with a new definition of risk," European Journal of Operational Research, Elsevier, vol. 186(1), pages 351-357, April.
    6. Deng, Xiao-Tie & Li, Zhong-Fei & Wang, Shou-Yang, 2005. "A minimax portfolio selection strategy with equilibrium," European Journal of Operational Research, Elsevier, vol. 166(1), pages 278-292, October.
    7. Grootveld, Henk & Hallerbach, Winfried, 1999. "Variance vs downside risk: Is there really that much difference?," European Journal of Operational Research, Elsevier, vol. 114(2), pages 304-319, April.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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