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| Volume 2, Number 2, May 2006, pp. 367-384 | ||||||||
| Jiuping Xu and Jun Li | ||||||||
| Key words: | ||||||||
| goal programming, interval number, order relation, possible deviation, portfolio selection, absolute deviation | ||||||||
| Mathematices Subject Classification: 90C29, 65K05 | ||||||||
|
||||||||
| Volume 2, Number 2, May 2006, pp. 367-384 | ||||||||
| Jiuping Xu and Jun Li | ||||||||
| Key words: | ||||||||
| goal programming, interval number, order relation, possible deviation, portfolio selection, absolute deviation | ||||||||
| Mathematices Subject Classification: 90C29, 65K05 | ||||||||
|
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| Abstract: | |||
| The aim of this paper is to deal with a goal programming problem with interval coefficients. Based on two order relations between intervals, the noninferior solution to this problem is defined. The goal interval programming is converted into a linear programming problem with a objective function composed of the linear combinations of positive and negative deviation variables. Considering the uncertain returns of assets in capital markets, a goal interval programming model for portfolio selection problem is presented with given returns and risks. Then, an approach is proposed to solve the above model and at last a numerical example is provided. | |||
| A goal interval programming model and its application to portfolio selection | ||
| Special Issue of ICOTA6 | ||