DocumentCode
1711574
Title
Mean-variance portfolio optimization model with uncertain coefficients
Author
Ida, Masaaki
Author_Institution
Dept. of Syst. Sci., Kyoto Univ., Japan
Volume
3
fYear
2001
fDate
6/23/1905 12:00:00 AM
Firstpage
1223
Lastpage
1226
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Fuzzy Systems, 2001. The 10th IEEE International Conference on
Conference_Location
Melbourne, Vic.
Print_ISBN
0-7803-7293-X
Type
conf
DOI
10.1109/FUZZ.2001.1008878
Filename
1008878
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