A class of linear interval programming problems and its application to portfolio selection
文献类型：期刊论文
| 作者 | Lai, KK; Wang, SY ; Xu, JP; Zhu, SS; Fang, Y
|
| 刊名 | IEEE TRANSACTIONS ON FUZZY SYSTEMS
 |
| 出版日期 | 2002-12-01 |
| 卷号 | 10期号:6页码:698-704 |
| 关键词 | interval order relation portfolio selection |
| ISSN号 | 1063-6706 |
| DOI | 10.1109/TFUZZ.2002.805902 |
| 英文摘要 | This paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a model for portfolio selection based on the semiabsolute deviation measure of risk, which can be transformed to a linear interval programming model studied in the paper. The method is illustrated by solving a simplified portfolio selection problem. |
| WOS研究方向 | Computer Science ; Engineering |
| 语种 | 英语 |
| WOS记录号 | WOS:000179696600002 |
| 出版者 | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/17133]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Lai, KK |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Sichuan Univ, Inst Informat & Decis Making, Chengdu 610065, Peoples R China |
| 推荐引用方式 GB/T 7714 | Lai, KK,Wang, SY,Xu, JP,et al. A class of linear interval programming problems and its application to portfolio selection[J]. IEEE TRANSACTIONS ON FUZZY SYSTEMS,2002,10(6):698-704. |
| APA | Lai, KK,Wang, SY,Xu, JP,Zhu, SS,&Fang, Y.(2002).A class of linear interval programming problems and its application to portfolio selection.IEEE TRANSACTIONS ON FUZZY SYSTEMS,10(6),698-704. |
| MLA | Lai, KK,et al."A class of linear interval programming problems and its application to portfolio selection".IEEE TRANSACTIONS ON FUZZY SYSTEMS 10.6(2002):698-704. |
入库方式： OAI收割
来源：数学与系统科学研究院
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