Milan Hladík. Tolerances in portfolio selection via interval linear programming. In CD-ROM Proceedings 26-th International Conference on Mathematical Methods in Economics MME08, Liberec, Czech Republic, pp. 185–191, Technical University Liberec, September 2008.
We consider a linear programming problem and develop an effective method for computing tolerances for input data. The tolerances are determined such that the input quantities can simultaneously and independently vary within these tolerances while the optimal value does not exceed given lower and upper bounds. In our approach we are able to take into account all the input quantities or some selected ones. The procedure runs in polynomial time. Although the tolerances are not the best possible (due to dependencies between quantities) in general, the results are satisfactory. We illustrate the procedure on a simple portfolio selection problem modelled as a linear program.
@InProceedings{Hla2008f,
author = "Milan Hlad\'{\i}k",
title = "Tolerances in portfolio selection via interval linear programming",
editor = "P. Rehorova and others",
feditor = "Rehorova, P. and Marsikova, K. and Hubinka, Z.",
booktitle = "CD-ROM Proceedings 26-th International Conference on Mathematical Methods in Economics MME08, Liberec, Czech Republic",
publisher = "Technical University Liberec",
year = "2008",
pages = "185-191",
month = "September",
bib2html_dl_pdf = "https://kam.mff.cuni.cz/~hladik/doc/2008-conf-MME-TolerPortfolioSelIntLP.pdf",
abstract = "We consider a linear programming problem and develop an effective method for computing tolerances for input data. The tolerances are determined such that the input quantities can simultaneously and independently vary within these tolerances while the optimal value does not exceed given lower and upper bounds. In our approach we are able to take into account all the input quantities or some selected ones. The procedure runs in polynomial time. Although the tolerances are not the best possible (due to dependencies between quantities) in general, the results are satisfactory. We illustrate the procedure on a simple portfolio selection problem modelled as a linear program.",
keywords = "portfolio selection, linear programming, generalized fractional programming, tolerance analysis, interval analysis",
}
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