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Numerical solution of a general interval quadratic programming model for portfolio selection
Jianjian Wang1, Feng He1, Xin Shi2,3,4
1Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing, Peoples R China.
Abstract:
Based on the Markowitz mean variance model, this paper discusses the portfolio selection problem in an uncertain environment. To construct a more realistic and optimized model, in this paper, a new general interval quadratic programming model for portfolio selection is established by introducing the linear transaction costs and liquidity of the securities market. Regarding the estimation for the new model, we propose an effective numerical solution method based on the Lagrange theorem and duality theory, which can obtain the effective upper and lower bounds of the objective function of the model. In addition, the proposed method is illustrated with two examples, and the results show that the proposed method is better and more feasible than the commonly used portfolio selection method.
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