Portfolio selection problem with interval coefficients

Applied Mathematics Letters

Volumn 16, Issue 5, 2003, Pages 709-713

  Ida, M ^a  

^a National Institution for Academic Degrees and University Evaluation Tokyo   (Japan)

Author keywords

Interval coefficient; Mean variance analysis; Multiple objective problem; Portfolio selection; Robust solution

Indexed keywords

EID: 84867992536     PISSN: 08939659     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0893-9659(03)00071-5     Document Type: Article

References (5)

1. H. Markowitz Portfolio Selection: Efficient Diversification of Investment 1959 John Wiley and Sons
2. R.E. Steuer Multiple Criteria Optimization: Theory, Computation, and Application 1986 John Wiley and Sons
3. G.R. Bitran Linear multiple objective problems with interval coefficients Management Science 26 1980 694 706
4. M. Ida Interval multiobjective programming and mobile robot path planning New Frontier in Computational Intelligence and its Applications 2000 IOS Press 313 322
5. M. Inuiguchi, and M. Sakawa Possible and necessary efficiency in possibilistic multiobjective linear programming problems and possible efficiency test Fuzzy Sets and Systems 78 1996 231 241