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.

Interval-valued upside potential and downside risk portfolio optimisation

KAUCIC, MASSIMILIANO;DARIS, ROBERTO
2017-01-01

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.
2-lug-2017
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http://www.tandfonline.com/doi/full/10.1080/1331677X.2017.1340180
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/2911542
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