A new portfolio selection model with interval-typed random variables and the empirical analysis
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This paper proposes a new portfolio selection model, where the goal is to maximize the expected portfolio return and meanwhile minimize the risks of all the assets. The average return of every asset is considered as an interval number, and the risk of every asset is treated by probabilistic measure. An algorithm for solving the portfolio selection problem is given. Then a Pareto-maximal solution could be obtained under order relations between interval numbers. Finally, the empirical analysis is presented to show the feasibility and robustness of the model.
KeywordsPortfolio selection Interval numbers Probabilistic measure Risk Returns Assets
The authors would like to thank the anonymous referees for their careful reading of this paper and for the valuable comments and suggestions which improved the quality of this paper. This work is supported by National Science Foundation of China (Grant No. 11401495) and Project proceeded to the academic of Southwest Petroleum University (Grant No. 200731010073).
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Conflict of interest
All authors declare that they have no conflicts of interest.
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