期刊
SADHANA-ACADEMY PROCEEDINGS IN ENGINEERING SCIENCES
卷 43, 期 9, 页码 -出版社
SPRINGER INDIA
DOI: 10.1007/s12046-018-0902-2
关键词
Stochastic programming; minimax risk; portfolio optimization; interval analysis
In this paper a portfolio optimization problem with bounded parameters is proposed taking into consideration the minimax risk measure, in which liquidity of the stocks is allied with selection of the portfolio. Interval uncertainty of the model is dealt with through a fusion between interval and random variable. As a result of this, the interval inequalities are converted to chance constraints. A solution methodology is developed using this concept to obtain an efficient portfolio. The theoretical developments are illustrated on a large data set taken from National Stock Exchange, India.
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