Discussion on portfolio model with interval probability criterion
Hui Jun · Journal of Hefei University of Technology · 2010
As for the probability criterion which has no optimum solution when the basic return rate is more than the expectation of the minimum variance portfolio,and with the supposition that investors' basic return rate is an interval,the classic Markowitz's model is improved based on the behavior and psychology of investors by taking the transaction cost and the existent investment into consideration.The paper constructs the portfolio model with interval probability criterion and discusses the optimal solution.A case study shows that this model is promising in practice.