A generalized mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns

Abstract

In this paper, the mean-variance model for portfolio optimization problems in the simultaneous presence of random and uncertain returns has been revisited and generalized. This has been achieved by introducing a generalized uncertainty distribution and formulating a portfolio selection problem using it. The proposed model is a flexible one. By varying parameter(s) of the model, different representative problems can be obtained. Analyzing the solutions, the most suitable one may be selected. The method of solution of the proposed model has been illustrated by constructing a numerical example.