Title :
Mean-variance portfolio optimization model with uncertain coefficients
Author_Institution :
Dept. of Syst. Sci., Kyoto Univ., Japan
fDate :
6/23/1905 12:00:00 AM
Abstract :
We deal with portfolio selection problem with interval objective function coefficients. Considering the problem as a multiple objective problem including uncertainties, two kinds of efficient solutions that are efficient or Pareto optimal for at least one or all coefficients within given intervals can be regarded as optimistic or pessimistic solutions respectively. We investigate the properties of efficiency conditions by means of two kinds of preference cones
Keywords :
covariance matrices; investment; optimisation; quadratic programming; set theory; Pareto optimal solutions; efficiency conditions; efficient solutions; interval objective function coefficients; mean-variance portfolio optimization model; multiple objective problem; preference cones; uncertain coefficients; Covariance matrix; Fuzzy systems; Informatics; Investments; Linear programming; Portfolios; Quadratic programming; Random variables; Uncertainty;
Conference_Titel :
Fuzzy Systems, 2001. The 10th IEEE International Conference on
Conference_Location :
Melbourne, Vic.
Print_ISBN :
0-7803-7293-X
DOI :
10.1109/FUZZ.2001.1008878
