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An Interval Semi-absolute Deviation Model For Portfolio Selection

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Fuzzy Systems and Knowledge Discovery (FSKD 2006)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 4223))

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Abstract

Interval number is a kind of special fuzzy number and the interval approach is a good method to deal with some uncertainty. The semi-absolute deviation risk function is extended to an interval case. Based on the extended semi-absolute deviation risk function, an interval semi-absolute deviation model for portfolio selection is proposed. By introducing the concepts of pessimistic satisfactory index and optimistic satisfactory index of interval inequality relation, an approach to compare interval numbers is given. The interval portfolio selection problem is converted to two parametric linear programming problems. A numerical example is given to illustrate the behavior of the proposed portfolio selection model.

Supported by the National Natural Science Foundation of China under Grant No. 70221001.

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Author information

Authors and Affiliations

  1. Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100080, China

    Yong Fang & Shouyang Wang

Authors
  1. Yong Fang
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  2. Shouyang Wang
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Editor information

Editors and Affiliations

  1. School of Electrical and Electronic Engineering, Nanyang Technological University,, Block S1, Nanyang Avenue, 639798, Singapore

    Lipo Wang

  2. Life Science Research Center, School of Electronic Engineering, Xidian University,, 710071, Xi’an, Shaanxi, China

    Licheng Jiao

  3. School of Electrical and Electronic Engineering, Xidian University, 710071, Xi’an, China

    Guanming Shi

  4. School of Information Technology and Electrical Engineering, The University of Queensland, 4072, Brisbane, Queensland, Australia

    Xue Li

  5. College of Mathematics and Information Science, Hebei Normal University, 050016, Shijiazhuang, Hebei, P.R. China

    Jing Liu

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© 2006 Springer-Verlag Berlin Heidelberg

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Fang, Y., Wang, S. (2006). An Interval Semi-absolute Deviation Model For Portfolio Selection. In: Wang, L., Jiao, L., Shi, G., Li, X., Liu, J. (eds) Fuzzy Systems and Knowledge Discovery. FSKD 2006. Lecture Notes in Computer Science(), vol 4223. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11881599_94

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  • DOI: https://doi.org/10.1007/11881599_94

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-45916-3

  • Online ISBN: 978-3-540-45917-0

  • eBook Packages: Computer ScienceComputer Science (R0)

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