A class of linear interval programming problems and its application to portfolio selection

K. K. Lai; S. Y. Wang; J. P. Xu; S. S. Zhu; Y. Fang

doi:10.1109/TFUZZ.2002.805902

A class of linear interval programming problems and its application to portfolio selection

K. K. Lai, S. Y. Wang, J. P. Xu, S. S. Zhu, Y. Fang

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

140 Citations (Scopus)

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.

Original language	English
Pages (from-to)	698-704
Journal	IEEE Transactions on Fuzzy Systems
Volume	10
Issue number	6
DOIs	https://doi.org/10.1109/TFUZZ.2002.805902
Publication status	Published - Dec 2002

Research Keywords

Interval
Order relation
Portfolio selection

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title = "A class of linear interval programming problems and its application to portfolio selection",

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.",

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author = "Lai, {K. K.} and Wang, {S. Y.} and Xu, {J. P.} and Zhu, {S. S.} and Y. Fang",

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T1 - A class of linear interval programming problems and its application to portfolio selection

AU - Lai, K. K.

AU - Wang, S. Y.

AU - Xu, J. P.

AU - Zhu, S. S.

AU - Fang, Y.

PY - 2002/12

Y1 - 2002/12

N2 - 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.

AB - 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.

KW - Interval

KW - Order relation

KW - Portfolio selection

UR - http://www.scopus.com/inward/record.url?scp=0036903050&partnerID=8YFLogxK

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0036903050&origin=recordpage

U2 - 10.1109/TFUZZ.2002.805902

DO - 10.1109/TFUZZ.2002.805902

M3 - RGC 21 - Publication in refereed journal

SN - 1063-6706

VL - 10

SP - 698

EP - 704

JO - IEEE Transactions on Fuzzy Systems

JF - IEEE Transactions on Fuzzy Systems

IS - 6

ER -

A class of linear interval programming problems and its application to portfolio selection

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Research Keywords

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