Optimal Portfolio Selection Models with Uncertain Returns

  •  Limei Yan    


This paper provides two new models for portfolio selection in which the securities are assumed to be uncertain variables that are neither random nor fuzzy. Since there is no efficient method to solve the proposed models, the original problems are transformed into their crisp equivalents programming when the returns are chosen some special uncertain variables such as rectangular uncertain variable, triangular uncertain variable, trapezoidal uncertain variable and normal uncertain variable. Finally, its feasibility and effectiveness of the method is illustrated by numerical example.

This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1913-1844
  • ISSN(Online): 1913-1852
  • Started: 2007
  • Frequency: monthly

Journal Metrics

(The data was calculated based on Google Scholar Citations)

h-index (January 2018): 30

i10-index (January 2018): 163

h5-index (January 2018): 19

h5-median(January 2018): 25