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Economic research - Ekonomska istraživanja, Vol. 30 No. 1, 2017.

Original scientific paper

https://doi.org/10.1080/1331677X.2017.1340180

Interval-valued upside potential and downside risk portfolio optimisation

Massimiliano Kaucic orcid id orcid.org/0000-0002-6565-0771 ; Department of Economics, Business Mathematical and Statistical Sciences, University of Trieste, Trieste, Italy
Roberto Daris ; Department of Economics, Business Mathematical and Statistical Sciences, University of Trieste, Trieste, Italy

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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.

Keywords

Portfolio selection; imprecise forecast; interval optimisation; M.O.E.A./D.; F.T.S.E. M.I.B. Index

Hrčak ID:

193191

URI

https://hrcak.srce.hr/193191

Publication date:

1.12.2017.

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