Abstract
In this chapter, we discuss portfolio optimization models with interval coefficients, where the expected return, risk and liquidity of assets are treated as interval numbers. In addition, some realistic constraints such as number of assets held in the portfolio and the maximal and minimal fractions of the capital allocated to the various assets are considered. We present optimization models for portfolio selection in respect of three types of investment strategies, namely, conservative strategy, aggressive strategy and combination strategy.
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© 2014 Springer-Verlag Berlin Heidelberg
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Gupta, P., Mehlawat, M.K., Inuiguchi, M., Chandra, S. (2014). Portfolio Optimization with Interval Coefficients. In: Fuzzy Portfolio Optimization. Studies in Fuzziness and Soft Computing, vol 316. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-54652-5_2
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DOI: https://doi.org/10.1007/978-3-642-54652-5_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-54651-8
Online ISBN: 978-3-642-54652-5
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