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Interval-valued upside potential and downside risk portfolio optimisation

KAUCIC, MASSIMILIANO
•
DARIS, ROBERTO
2017
  • journal article

Periodico
EKONOMSKA ISTRAzÌŒIVANJA
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.
DOI
10.1080/1331677X.2017.1340180
WOS
WOS:000414194900001
Archivio
http://hdl.handle.net/11368/2911542
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85021807489
http://www.tandfonline.com/doi/full/10.1080/1331677X.2017.1340180
Diritti
open access
FVG url
https://arts.units.it/bitstream/11368/2911542/1/Interval valued upside potential and downside risk portfolio optimisation.pdf
Soggetti
  • Portfolio selection

  • imprecise forecast

  • interval optimisation...

  • M.O.E.A./D.

  • F.T.S.E. M.I.B. Index...

Scopus© citazioni
0
Data di acquisizione
Jun 7, 2022
Vedi dettagli
Web of Science© citazioni
0
Data di acquisizione
Mar 25, 2024
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