Interval portfolio selection models within the framework of uncertainty theory

The expected returns for securities are traditionally estimated as crisp values. Since the improper values may bring on an unsuccessful investment decision, portfolio experts generally prefer offering interval estimations for expected returns rather than crisp ones. The portfolio selection problem with interval expected returns is widely studied recently. In this paper, by considering the security returns with interval expected returns as uncertain variables, a mean-semiabsolute deviation model is proposed within the framework of uncertainty theory, which is a crisp nonlinear programming model and can be well solved by the classical optimization algorithms. In order to illustrate the method, some numerical experiments are given and solved.