DocumentCode
1959916
Title
An interval portfolio selection model with liquidity constraints
Author
Wu, Meng
Author_Institution
Coll. of Bus. Adm., Sichuan Univ., Chengdu, China
Volume
2
fYear
2012
fDate
20-21 Oct. 2012
Firstpage
266
Lastpage
269
Abstract
We discusses an interval portfolio selection model with liquidity constraints. By using semiabsolute deviation as the risk measure, an interval mean-semiabsolute deviation model is proposed. In order to describe the differences of interval inequality relation, we introduce the concept of satisfactory degree. The noninferior solutions of this model are defined based on the order relation and on the satisfactory degree, and can be found by solving a parametric linear programming.
Keywords
financial management; linear programming; risk analysis; interval mean-semiabsolute deviation model; interval portfolio selection model; liquidity constraints; parametric linear programming; risk measure; Europe; Investments; Linear programming; Optimization; Portfolios; Programming; Security;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Management, Innovation Management and Industrial Engineering (ICIII), 2012 International Conference on
Conference_Location
Sanya
Print_ISBN
978-1-4673-1932-4
Type
conf
DOI
10.1109/ICIII.2012.6339829
Filename
6339829
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