Interval Number Model for Portfolio Selection with Liquidity Constraints

Tan, Manyi

doi:10.1007/978-3-642-28592-9_3

Cited by 5 publications

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“…In such cases an investor can easily find the lower and upper bound of these parameters from the historical data and consider the parameters as closed intervals. In recent years this idea has been accepted by Ida [26], Lai et al [27], Giove et al [28], Liu [29] and Tan [30]. Liu et al [31] proposed a portfolio optimization model for multiple time periods considering the return, risk and liquidity in the form of closed intervals with certain degree of diversification.…”

Section: Introductionmentioning

confidence: 99%

Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters

2018

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In this paper a portfolio optimization problem with bounded parameters is proposed taking into consideration the minimax risk measure, in which liquidity of the stocks is allied with selection of the portfolio. Interval uncertainty of the model is dealt with through a fusion between interval and random variable. As a result of this, the interval inequalities are converted to chance constraints. A solution methodology is developed using this concept to obtain an efficient portfolio. The theoretical developments are illustrated on a large data set taken from National Stock Exchange, India.

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