Portfolio Optimization with Interval Coefficients

In this chapter, we discuss portfolio optimization models with interval coefficients, where the expected return, risk and liquidity of assets are treated as interval numbers. In addition, some realistic constraints such as number of assets held in the portfolio and the maximal and minimal fractions of the capital allocated to the various assets are considered. We present optimization models for portfolio selection in respect of three types of investment strategies, namely, conservative strategy, aggressive strategy and combination strategy.