Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis

Portfolio optimization encompasses the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk. This paper focuses on a portfolio selection model with interval-typed random parameters considering risk measures as value-at-risk (VaR). The value-at-risk is expressed by means of the interval-typed of random parameters and associated with Markowitz's model. The purpose of this opinion is to design an interval mean-VaR portfolio optimization model with the objective of minimization of VaR. A methodology is developed to obtain an efficient investment strategy using interval analysis with the parametric representation of the interval. The theoretical developments are illustrated based on a historical data set taken from the National Stock Exchange, India.

Automated summary

This paper focuses on developing an interval mean-VaR portfolio optimization model with the objective of minimizing VaR. The methodology used combines interval analysis with parametric representation of the interval to obtain an efficient investment strategy. The theoretical developments are illustrated using historical data from the National Stock Exchange in India.