Author:
Jana Mrinal,Panda Geetanjali,Agrawal Neelesh
Abstract
We investigate a portfolio selection model with several objective functions, whose coefficients are uncertain and vary between some bounds. A preferable efficient portfolio of the model is obtained, which provides the range within which the portfolio return and the moments would vary. An optimal portfolio for the forecasted returns of stocks is found with actual market data from the Bombay Stock Exchange, India.
Publisher
International Journal of Mathematical, Engineering and Management Sciences plus Mangey Ram
Subject
General Engineering,General Business, Management and Accounting,General Mathematics,General Computer Science
Reference18 articles.
1. Abiyev, R. H., & Menekay, M. (2007). Fuzzy portfolio selection using genetic algorithm. Soft Computing-A Fusion of Foundations, Methodologies and Applications, 11(12), 1157-1163.
2. Bhattacharyya, R., Kar, S., & Majumder, D. D. (2011). Fuzzy mean–variance–skewness portfolio selection models by interval analysis. Computers & Mathematics with Applications, 61(1), 126-137.
3. Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2009). Modern portfolio theory and investment analysis. John Wiley & Sons.
4. Hong, C. S., Karni, E., & Safra, Z. (1987). Risk aversion in the theory of expected utility with rank dependent probabilities. Journal of Economic Theory, 42(2), 370-381.
5. Jana, M., & Panda, G. (2014). Solution of nonlinear interval vector optimization problem. Operational Research, 14(1), 71-85.
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Post Model Correction in Risk Analysis and Management;International Journal of Mathematical, Engineering and Management Sciences;2019-06-01
2. Simulation Tool for Livestock Feeding: SIMFEED;International Journal of Mathematical, Engineering and Management Sciences;2019-04-01