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On interval portfolio selection problem

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Abstract

The future returns of each securities cannot be correctly reflected by the data in the past, therefore the expert’s judgements and experiences should be considered to estimate the security returns for the future. In this paper, we propose an interval portfolio selection model in which both the returns and the risks of assets are defined as intervals. By using interval and convex analysis, we solve this model and get the noninferior solution. Finally, an example is given to illustrate our results. The interval portfolio selection model improves and generalizes the Markowitz’s mean-variance model and the results of Deng et al. (Eur J Oper Res 166(1):278–292, 2005).

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Acknowledgments

This work was supported by the National Natural Science Foundation of China (71101099, 70831005) and the Special Funds of Sichuan University of the Fundamental Research Funds for the Central Universities (SKQY201330).

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Authors and Affiliations

  1. College of Business Administration, Sichuan University, Chengdu, 610064, Sichuan, People’s Republic of China

    Meng Wu & Jiu-ping Xu

  2. The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, 361005, Fujian, China

    De-wang Kong

  3. Department of Mathematics, Sichuan University, Chengdu, 610064, Sichuan, China

    Nan-jing Huang

Authors
  1. Meng Wu
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  2. De-wang Kong
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  3. Jiu-ping Xu
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  4. Nan-jing Huang
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Correspondence to Meng Wu.

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Wu, M., Kong, Dw., Xu, Jp. et al. On interval portfolio selection problem. Fuzzy Optim Decis Making 12, 289–304 (2013). https://doi.org/10.1007/s10700-013-9155-z

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