4.5 Article

Multiobjective Efficient Portfolio Selection with Bounded Parameters

Journal

ARABIAN JOURNAL FOR SCIENCE AND ENGINEERING
Volume 43, Issue 6, Pages 3311-3325

Publisher

SPRINGER HEIDELBERG
DOI: 10.1007/s13369-018-3077-6

Keywords

Interval optimization; Liquidity; Multiobjective programming; Partial order; Portfolio selection

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In this paper, a multiobjective portfolio selection model is studied, wherein all parameters like return, risk, etc., as well as decision variables are varying in intervals. A methodology is developed using interval analysis to derive an acceptable efficient portfolio. The theoretical developments are justified by assigning the degree of acceptability to every feasible portfolio as well as assigning goals to each objective function. This theoretical development is illustrated in a portfolio selection model with data from Bombay Stock Exchange, India, which justifies that the results obtained by the proposed method are close enough to the existing result.

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