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Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis

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  • P. Kumar

    (SRM Institute of Science and Technology)

  • Jyotirmayee Behera

    (SRM Institute of Science and Technology)

  • A. K. Bhurjee

    (VIT Bhopal University)

Abstract

Portfolio optimization encompasses the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk. This paper focuses on a portfolio selection model with interval-typed random parameters considering risk measures as value-at-risk (VaR). The value-at-risk is expressed by means of the interval-typed of random parameters and associated with Markowitz’s model. The purpose of this opinion is to design an interval mean-VaR portfolio optimization model with the objective of minimization of VaR. A methodology is developed to obtain an efficient investment strategy using interval analysis with the parametric representation of the interval. The theoretical developments are illustrated based on a historical data set taken from the National Stock Exchange, India.

Suggested Citation

  • P. Kumar & Jyotirmayee Behera & A. K. Bhurjee, 2022. "Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis," OPSEARCH, Springer;Operational Research Society of India, vol. 59(1), pages 41-77, March.
    • Handle: RePEc:spr:opsear:v:59:y:2022:i:1:d:10.1007_s12597-021-00531-7
    DOI: 10.1007/s12597-021-00531-7
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    2. Fabiola Roxana Villanueva & Valeriano Antunes Oliveira, 2022. "Necessary Optimality Conditions for Interval Optimization Problems with Functional and Abstract Constraints," Journal of Optimization Theory and Applications, Springer, vol. 194(3), pages 896-923, September.

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