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Portfolio selection problem with interval coefficients

✍ Scribed by M Ida

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
338 KB
Volume
16
Category
Article
ISSN
0893-9659

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✦ Synopsis

investigate the portfolio selection problem with interval objective function coefficients as a multiple objective problem including uncertainties. Robust efficient solutions, Pareto optimal for all possible perturbation of coefficients within given intervals, are secure and conservative solutions. Using preference cones we show that the robust efficient solutions can be identified by working with only a finite subset of the possible perturbations of the coefficients.

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