Efficient Portfolio for Interval Sharpe Ratio Model

In this paper a problem related to portfolio optimizationmodel 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. Amethodology 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.