Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 197, Issue 2, Pages 693-700Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ejor.2008.07.011
Keywords
Possibilistic distribution; Portfolio selection; Mean-variance utility; Parametric quadratic programming; Sequential minimal optimization (SMO)
Funding
- National Natural Science Foundation of China [70571024]
- NCET [06-0749]
- China Postdoctoral Science Foundation [2005037241]
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In this paper, we propose a new portfolio selection model with the maximum utility based on the interval-valued possibilistic mean and possibilistic variance, which is a two-parameter quadratic programming problem. We also present a sequential minimal optimization (SMO) algorithm to obtain the optimal portfolio. The remarkable feature of the algorithm is that it is extremely easy to implement, and it can be extended to any size of portfolio selection problems for finding an exact optimal solution. (C) 2008 Elsevier B.V. All rights reserved.
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