Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation

TL;DR

This paper introduces a new satisfaction index for interval inequalities in portfolio selection, transforming uncertain interval programming into a linear programming problem to aid investors in finding efficient portfolios.

Contribution

It proposes a novel satisfaction index for interval inequalities and a method to convert uncertain portfolio problems into linear programming models.

Findings

Method effectively helps investors identify efficient portfolios.

Simulation confirms the approach's practicality and effectiveness.

Transforms uncertain interval problems into standard linear programming.

Abstract

In this paper we consider an interval portfolio selection problem with uncertain returns and introduce an inclusive concept of satisfaction index for interval inequality relation. Based on the satisfaction index, we propose an approach to reduce the interval programming problem with uncertain objective and constraints into a standard linear programming problem with two parameters. We showed by simulation experiment that our method is capable of helping investors to find efficient portfolios according to their preference.