Interval Number Linear Programming for the Portfolio Selection with Short Sales Allowed
SUN Yanhong
Abstract：The paper presents model for interval number linear programming for the portfolio selection with short sales allowed.We introduce optimal degreeαin the objective function and a satisfactory degreeηin the constraint conditions for interval number linear programming problem to transform uncertain line-ar portfolio model into certain linear portfolio to deal with it.In the end, a numerical example is given to show the feasibility of the method.
Keywords：short-sellingportfolio selectioninterval numberoptimal degreesatisfactory degree
Publication Date：2014-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：3( 302-304 )