Efficient Portfolio for Interval Sharpe Ratio Model

DOI10.1007/978-81-322-2452-5_5zbMath1323.91041OpenAlexW1660803995WikidataQ57843398 ScholiaQ57843398MaRDI QIDQ3449409

Pankaj Kumar, Geetanjali Panda, Mrinal Jana

Publication date: 4 November 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-81-322-2452-5_5

zbMATH Keywords

fractional programmingportfolio optimizationinterval-valued functionefficient portfoliointerval inequalities

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Fractional programming (90C32) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Multiobjective efficient portfolio selection with bounded parameters

Cites Work

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• Generalized linear fractional programming under interval uncertainty
• NONLINEAR FRACTIONAL PROGRAMMING PROBLEM WITH INEXACT PARAMETER
• Introduction to Interval Analysis