Zhang, Wei-Guo; Zhang, Xi-Li; Xiao, Wei-Lin - In: European Journal of Operational Research 197 (2009) 2, pp. 693-700
In this paper, we propose a new portfolio selection model with the maximum utility based on the interval-valued possibilistic mean and possibilistic variance, which is a two-parameter quadratic programming problem. We also present a sequential minimal optimization (SMO) algorithm to obtain the...