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Efficient Portfolio for Interval Sharpe Ratio Model

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Mathematics and Computing

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 139))

Abstract

In this paper a problem related to portfolio optimization model is proposed to maximize the Sharpe ratio of the portfolio with varying parameters. The Sharpe ratio model is an interval fractional programming problem in which the function in objective and in constraints are interval-valued function. A methodology is developed to solve the Sharpe ratio model. This model is transformed into a general optimization problem and relation between the original problem and the transformed problem is established.

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Author information

Authors and Affiliations

  1. Department of Mathematics, Indian Institute of Technology Kharagpur, Kharagpur, 721302, India

    Mrinal Jana, Pankaj Kumar & Geetanjali Panda

Authors
  1. Mrinal Jana
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  2. Pankaj Kumar
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  3. Geetanjali Panda
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Corresponding author

Correspondence to Mrinal Jana .

Editor information

Editors and Affiliations

  1. Department of Mathematics, University of Central Florida, Orlando, Florida, USA

    Ram N. Mohapatra

  2. Indian Institute of Technology Kharagpur Dept. Computer Science & Engineering, Kharagpur, West Bengal, India

    Dipanwita Roy Chowdhury

  3. Dept of Computer Science & Engineering, Haldia Institute of Technology, Haldia, West Bengal, India

    Debasis Giri

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Jana, M., Kumar, P., Panda, G. (2015). Efficient Portfolio for Interval Sharpe Ratio Model. In: Mohapatra, R., Chowdhury, D., Giri, D. (eds) Mathematics and Computing. Springer Proceedings in Mathematics & Statistics, vol 139. Springer, New Delhi. https://doi.org/10.1007/978-81-322-2452-5_5

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