IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1207.1932.html
   My bibliography  Save this paper

Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation

Author

Listed:
  • Yunchol Jong

Abstract

In this paper we consider an interval portfolio selection problem with uncertain returns and introduce an inclusive concept of satisfaction index for interval inequality relation. Based on the satisfaction index, we propose an approach to reduce the interval programming problem with uncertain objective and constraints into a standard linear programming problem with two parameters. We showed by simulation experiment that our method is capable of helping investors to find efficient portfolios according to their preference.

Suggested Citation

  • Yunchol Jong, 2012. "Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation," Papers 1207.1932, arXiv.org.
    • Handle: RePEc:arx:papers:1207.1932
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1207.1932
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ishibuchi, Hisao & Tanaka, Hideo, 1990. "Multiobjective programming in optimization of the interval objective function," European Journal of Operational Research, Elsevier, vol. 48(2), pages 219-225, September.
    2. K.L. Teo & X.Q. Yang, 2001. "Portfolio Selection Problem with Minimax Type Risk Function," Annals of Operations Research, Springer, vol. 101(1), pages 333-349, January.
    3. Yong Fang & Kin Keung Lai & Shouyang Wang, 2008. "Fuzzy Portfolio Optimization," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-77926-1, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yong-Jun Liu & Wei-Guo Zhang & Jun-Bo Wang, 2016. "Multi-period cardinality constrained portfolio selection models with interval coefficients," Annals of Operations Research, Springer, vol. 244(2), pages 545-569, September.
    2. Wang, Ying-Ming & Elhag, Taha M.S., 2007. "A goal programming method for obtaining interval weights from an interval comparison matrix," European Journal of Operational Research, Elsevier, vol. 177(1), pages 458-471, February.
    3. Majumdar, J. & Bhunia, A.K., 2007. "Elitist genetic algorithm for assignment problem with imprecise goal," European Journal of Operational Research, Elsevier, vol. 177(2), pages 684-692, March.
    4. Milan Vaclavik & Josef Jablonsky, 2012. "Revisions of modern portfolio theory optimization model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 473-483, September.
    5. Kenneth David Strang, 2012. "Man versus math: Behaviorist exploration of post-crisis non-banking asset management," Journal of Asset Management, Palgrave Macmillan, vol. 13(5), pages 348-367, October.
    6. Madlener, Reinhard & Glensk, Barbara & Weber, Veronika, 2011. "Fuzzy Portfolio Optimization of Onshore Wind Power Plants," FCN Working Papers 10/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Jul 2014.
    7. Piasecki, Krzysztof, 2011. "Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych [Fuzzy Probabilistic Sets as a Tool for Behavioural Finance]," MPRA Paper 46218, University Library of Munich, Germany.
    8. Subhendu Ruidas & Mijanur Rahaman Seikh & Prasun Kumar Nayak, 2020. "An EPQ model with stock and selling price dependent demand and variable production rate in interval environment," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 11(2), pages 385-399, April.
    9. Wei Wang & Yaofeng Xu & Liguo Hou, 2019. "Optimal allocation of test times for reliability growth testing with interval-valued model parameters," Journal of Risk and Reliability, , vol. 233(5), pages 791-802, October.
    10. Xiaobin Yang & Haitao Lin & Gang Xiao & Huanbin Xue & Xiaopeng Yang, 2019. "Resolution of Max-Product Fuzzy Relation Equation with Interval-Valued Parameter," Complexity, Hindawi, vol. 2019, pages 1-16, February.
    11. Jiang, C. & Han, X. & Liu, G.R. & Liu, G.P., 2008. "A nonlinear interval number programming method for uncertain optimization problems," European Journal of Operational Research, Elsevier, vol. 188(1), pages 1-13, July.
    12. Rong, M. & Mahapatra, N.K. & Maiti, M., 2008. "A two warehouse inventory model for a deteriorating item with partially/fully backlogged shortage and fuzzy lead time," European Journal of Operational Research, Elsevier, vol. 189(1), pages 59-75, August.
    13. Fusheng Wang, 2013. "A hybrid algorithm for linearly constrained minimax problems," Annals of Operations Research, Springer, vol. 206(1), pages 501-525, July.
    14. Zhou, Feng & Huang, Gordon H. & Chen, Guo-Xian & Guo, Huai-Cheng, 2009. "Enhanced-interval linear programming," European Journal of Operational Research, Elsevier, vol. 199(2), pages 323-333, December.
    15. Xu, Zeshui & Chen, Jian, 2008. "Some models for deriving the priority weights from interval fuzzy preference relations," European Journal of Operational Research, Elsevier, vol. 184(1), pages 266-280, January.
    16. 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.
    17. Hong-Quan Li & Zhi-Hong Yi & Yong Fang, 2019. "Portfolio selection under uncertainty by the ordered modular average operator," Fuzzy Optimization and Decision Making, Springer, vol. 18(1), pages 1-14, March.
    18. Mrinal Jana & Geetanjali Panda, 2018. "$$\chi$$ χ -Optimal solution of single objective nonlinear optimization problem with uncertain parameters," OPSEARCH, Springer;Operational Research Society of India, vol. 55(1), pages 165-186, March.
    19. Bhuvnesh Sharma & M. Ramkumar & Nachiappan Subramanian & Bharat Malhotra, 2019. "Dynamic temporary blood facility location-allocation during and post-disaster periods," Annals of Operations Research, Springer, vol. 283(1), pages 705-736, December.
    20. P. Kumar & G. Panda, 2017. "Solving nonlinear interval optimization problem using stochastic programming technique," OPSEARCH, Springer;Operational Research Society of India, vol. 54(4), pages 752-765, December.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1207.1932. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.