Efficient solutions for vector optimization problem on an extended interval vector space and its application to portfolio optimization

In this paper, a generalized interval vector space is investigated and defined as an ordered relation in the form of a bijective linear transformation of its onto a real vector space. The ordered relation is utilized to formulate an interval optimization problem in the same manner as a classical mul...

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Vydáno v:Expert systems with applications Ročník 249; s. 123653
Hlavní autoři: Sahu, B.R.B., Bhurjee, A.K., Kumar, P.
Médium: Journal Article
Jazyk:angličtina
Vydáno: Elsevier Ltd 01.09.2024
Témata:
Efficient solution
Interval analysis theory
Interval optimization problem
Interval vector space
Multi-objective optimization problem
Portfolio selection
Interval optimization problem
Portfolio selection
Interval analysis theory
Efficient solution
Multi-objective optimization problem
Interval vector space
ISSN:0957-4174, 1873-6793
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Shrnutí:In this paper, a generalized interval vector space is investigated and defined as an ordered relation in the form of a bijective linear transformation of its onto a real vector space. The ordered relation is utilized to formulate an interval optimization problem in the same manner as a classical multi-objective programming problem. A methodology that addresses the existence of efficient solutions for the multi-objective interval optimization problem has also been discussed. Various numerical examples are described to illustrate and substantiate all developed concepts. Furthermore, the multi-objective portfolio rebalancing problem for a time horizon is designed based on the developed interval vector optimization. An algorithm using exhaustive solution technology has been proposed to achieve an efficient investment strategy. Finally, its applicability and efficacy are analyzed using Bombay Stock Exchange India data sets. •Bijective relation for an interval is created using interval vector space.•The solution technique is developed for interval optimization.•Introduction and existence of the interval vector optimization problem.•The Multi-objective Interval Portfolio Rebalancing Problem is designed.•Evaluating the model’s applicability and efficacy using historical data.
ISSN:0957-4174
1873-6793
DOI:10.1016/j.eswa.2024.123653