An interval portfolio selection problem based on regret function
An interval portfolio selection problem based on regret function
复制标题
DOI：
10.1016/j.ejor.2004.05.030
复制
发表时间：
2006-04-01
影响因子：
6.4
通讯作者：
Nardelli, C
中科院分区：
文献类型：
--
作者：
Giove, S;Funari, S;Nardelli, C
除了传统的马科维茨模型外，文献中还提出了不同的方法来分析投资组合选择问题。其中我们可以引用可能性投资组合模型，它将证券的期望收益率作为模糊变量或可能性变量，而不是随机变量。这种基于可能性数学规划的模型，将现实世界的不确定性描述为模糊性和模糊性，而不是随机性。实际上，处理决策问题中的不确定性的另一种方法是假设数据没有很好地定义，但能够在给定的间隔内变化。因此，区间分析适用于处理不精确的输入数据。本文考虑一个证券价格作为区间变量的投资组合选择问题。为了处理这类区间投资组合问题，我们提出了一种基于后悔函数的极大极小后悔方法。(c) 2004 Elsevier B.V.版权所有
Different approaches, besides the traditional Markowitz's model, have been proposed in the literature to analyze portfolio selection problems. Among them we can cite the possibilistic portfolio models, which treat the expected return rates of the securities as fuzzy or possibilistic variables, instead of random variables. Such models, which are based on possibilistic mathematical programming, describe the uncertainty of the real world as ambiguity and vagueness, rather than stochasticity. Actually, another way to treat the uncertainty in decision making problems consists of assuming that the data are not well defined, but are able to vary in given intervals. Interval analysis is thus appropriate to handle the imprecise input data. In this paper we consider a portfolio selection problem in which the prices of the securities are treated as interval variables. In order to deal with such an interval portfolio problem, we propose the adoption of a minimax regret approach based on a regret function. (c) 2004 Elsevier B.V. All rights reserved.