Interval Optimization In Portfolio Selection with Conditional Value At Risk

Document Type : Research Paper

Authors

1 Associate Prof., Faculty of Industrial Engineering, Khaje Nasir University, Tehran, Iran

2 MSc. Student in Industrial Engineering, Khaje Nasir University, Tehran, Iran

3 Ph.D. Candidate in Industrial Engineering, Tarbiat Modares, Tehran, Iran

Abstract

In this paper portfolio selection problem with interval optimization approach is surveyed. CVaR is risk measure. CVaR is the expected loss depending on the chosen confidence level. Using CVaR makes the portfolio selection problem linear programming. Contribution of this paper is to consider mean expected interval; this development help portfolio selection problem to consider uncertainty. Interval optimization is modeling approach to consider parameters uncertainty in this paper. Considering uncertainty make model more realistic. The results of model show that this approach has computational efficiency and on the other hand proposed model produce better solution in risk and portfolio rate of return point of view.

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References

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Financial Research Journal
Volume 19, Issue 1
2017
Pages 157-172

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