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- Title
PORTFOLIO OPTIMIZATION USING INTERVAL ANALYSIS.
- Authors
ŞERBAN, Florentin; COSTEA, Adrian; FERRARA, Massimiliano
- Abstract
In this paper, a new model for solving portfolio optimization problems is proposed. Interval analysis and interval linear programming concepts are introduced and integrated in order to build an interval linear programming model. We develop an algorithm for solving portfolio optimization problems with the coefficients of the constraints and the coefficients of the objective function modeled by interval numbers. The theoretical results obtained are used to solve a case study.
- Subjects
PORTFOLIO management (Investments); MATHEMATICAL optimization; INTERVAL analysis; LINEAR programming; ALGORITHMS
- Publication
Economic Computation & Economic Cybernetics Studies & Research, 2015, Vol 49, Issue 1, p139
- ISSN
0424-267X
- Publication type
Article