Result: The mean-absolute deviation portfolio selection problem with interval-valued returns

Title:
The mean-absolute deviation portfolio selection problem with interval-valued returns
Authors:
LIU, Shiang-Tai
Source:
Journal of computational and applied mathematics. 235(14):4149-4157
Publisher Information:
Kidlington: Elsevier, 2011.
Publication Year:
2011
Physical Description:
print, 16 ref
Original Material:
INIST-CNRS
Subject Terms:
Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse mathématique, Mathematical analysis, Topologie. Variétés et complexes cellulaires. Analyse globale et analyse sur variétés, Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds, Analyse globale, analyse sur des variétés, Global analysis, analysis on manifolds, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Méthodes numériques en programmation mathématique, optimisation et calcul variationnel, Numerical methods in mathematical programming, optimization and calculus of variations, Programmation mathématique numérique, Numerical methods in mathematical programming, Analyse numérique, Numerical analysis, Análisis numérico, Borne inférieure, Lower bound, Cota inferior, Borne supérieure, Upper bound, Cota superior, Dualité, Duality, Dualidad, Finance, Finanzas, Mathématiques appliquées, Applied mathematics, Matemáticas aplicadas, Modèle mathématique, Mathematical model, Modelo matemático, Méthode optimisation, Optimization method, Método optimización, Problème sélection, Selection problem, Problema selección, Programmation mathématique, Mathematical programming, Programación matemática, Transformation mathématique, Mathematical transformation, Transformación matemática, 58A25, 65K05, 65Kxx, 49M, 90C, Absolute deviation function, Portfolio selection, Risk, Two-level program
Document Type:
Academic journal Article
File Description:
text
Language:
English
Author Affiliations:
Graduate School of Business and Management, Vanung University, Chung-Li, Tao-Yuan 320, Tawain, Province of China
ISSN:
0377-0427
Access URL:
http://pascal-francis.inist.fr/vibad/index.php?action=search&terms=24234679
Rights:
Copyright 2015 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.24234679
Database:
PASCAL Archive

Further Information

In real-world investments, one may care more about the future earnings than the current earnings of the assets. This paperdiscusses the uncertain portfolio selection problem where the asset returns are represented by interval data. Since the parameters are interval valued, the gain of returns is interval valued as well. According to the concept of the mean-absolute deviation function, we construct a pair of two-level mathematical programming models to calculate the lower and upper bounds of the investment return of the portfolio selection problem. Using the duality theorem and applying the variable transformation technique, the pair of two-level mathematical programs is transformed into a conventional one-level mathematical program. Solving the pair of mathematical programs produces the interval of the portfolio return of the problem. The calculated results conform to an essential idea in finance and economics that the greater the amount of risk that an investor is willing to take on the greater the potential return.