An Interval Semi-absolute Deviation Model For Portfolio Selection

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.

• Type: Conference
• Year: 2006
• Where: FSKD
• Authors: Yong Fang, Shouyang Wang
• Keywords: Deviation Risk Function, FSKD 2006, Fuzzy Logic, Interval Numbers, Semi-absolute Deviation Risk