Mrinal Jana
Department of Mathematics, University of Petroleum and Energy Studies, Dehradun-248007, Uttarakhand, India.

Geetanjali Panda
Department of Mathematics, Indian Institute of Technology Kharagpur, Kharagpur-721302, West Bengal, India.

Neelesh Agrawal
Department of Civil Engineering, Indian Institute of Technology Kharagpur, Kharagpur-721302, West Bengal, India.

DOI https://dx.doi.org/10.33889/IJMEMS.2018.3.4-024

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Abstract

We investigate a portfolio selection model with several objective functions, whose coefficients are uncertain and vary between some bounds. A preferable efficient portfolio of the model is obtained, which provides the range within which the portfolio return and the moments would vary. An optimal portfolio for the forecasted returns of stocks is found with actual market data from the Bombay Stock Exchange, India.

Keywords- Nonlinear interval programming, Multi-objective optimization, Portfolio selection, Forecasting, Efficient portfolio.

Citation

Jana, M., Panda, G., & Agrawal, N. (2018). An Efficient Portfolio with Several Objectives and Varying Parameters. International Journal of Mathematical, Engineering and Management Sciences, 3(4), 335-350. https://dx.doi.org/10.33889/IJMEMS.2018.3.4-024.