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Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters. (English) Zbl 1402.90106

Summary: In this paper a portfolio optimization problem with bounded parameters is proposed taking into consideration the minimax risk measure, in which liquidity of the stocks is allied with selection of the portfolio. Interval uncertainty of the model is dealt with through a fusion between interval and random variable. As a result of this, the interval inequalities are converted to chance constraints. A solution methodology is developed using this concept to obtain an efficient portfolio. The theoretical developments are illustrated on a large data set taken from National Stock Exchange, India.

MSC:

90C15 Stochastic programming
91G10 Portfolio theory
91G80 Financial applications of other theories
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References:

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