Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
481519 | European Journal of Operational Research | 2009 | 8 Pages |
Abstract
In this paper, we propose a new portfolio selection model with the maximum utility based on the interval-valued possibilistic mean and possibilistic variance, which is a two-parameter quadratic programming problem. We also present a sequential minimal optimization (SMO) algorithm to obtain the optimal portfolio. The remarkable feature of the algorithm is that it is extremely easy to implement, and it can be extended to any size of portfolio selection problems for finding an exact optimal solution.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Wei-Guo Zhang, Xi-Li Zhang, Wei-Lin Xiao,