Interval-valued upside potential and downside risk portfolio optimisation

Abstract

A novel interval optimisation approach is developed to include imprecise forecasts into the portfolio selection process for investors measuring upside potential and downside risk as deviations from a target return. Crisp scenarios are substituted by interval scenarios and the resulting interval optimisation problem is solved in a tractable manner by means of a bi-objective formulation exploiting a partial order relation between intervals. Four utility case studies involving assets from the F.T.S.E. M.I.B. Index are considered to illustrate how impreciseness can be efficiently handled in portfolio management

Sufficiency and duality for nonsmooth optimization problems involving symmetric invex interval-valued functions

“…In [5], an interval parameter optimization model was introduced for stream water quality management with imprecision. So far, interval-valued optimization problems (IVOPs) have been widely applicated in location problems [6], portfolio optimization [7], cooperative game [8], hybrid energy system [9], optimal control [10] etc.…”