A class of linear interval programming problems and its application to portfolio selection
A class of linear interval programming problems and its application to portfolio selection
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DOI：
10.1109/tfuzz.2002.805902
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发表时间：
2002-12
期刊：
影响因子：
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通讯作者：
K. Lai;Shouyang Wang;Jiuping Xu;Shushang Zhu;Yong Fang
中科院分区：
文献类型：
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作者：
K. Lai;Shouyang Wang;Jiuping Xu;Shushang Zhu;Yong Fang
本文讨论了一类目标函数和约束条件均为区间系数的线性规划问题。基于区间之间的二阶关系定义了此类问题的非劣解，并通过求解一个参数线性规划问题来求出非劣解。将资本市场中资产收益的不确定性视为区间，提出了一个基于风险半绝对离差测度的投资组合选择模型，并将其转化为本文所研究的线性区间规划模型。通过求解一个简化的投资组合选择问题来说明该方法。
This paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a model for portfolio selection based on the semiabsolute deviation measure of risk, which can be transformed to a linear interval programming model studied in the paper. The method is illustrated by solving a simplified portfolio selection problem.