Optimal Range of Sharpe Ratio of a Portfolio Model with Interval Parameters

This paper proposes a Sharpe ratio portfolio optimization model wherein the expected return, variance and covariance of stocks vary in closed intervals. Objective function of this model is a nonlinear interval valued function. A solution methodology is developed for this model to obtain an efficient portfolio which provides the upper and lower bound of maximum value of the Sharpe ratio. The theoretical development is illustrated in a portfolio selection problem with historical data from the Indian Stock Market.