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1、ENTROPY-COSTRATIOMAXIMIZATIONMODELFOREFFICIENTSTOCKPORTFOLIOSELECTIONUSINGINTERVALANALYSIS12MainakDeyandRupakBhattacharyya1DepartmentofMathematics,CamelliaInstituteofEngineering,Madhyamgram,WestBengal,INDIAmainak23486@hotmail.com2DepartmentofAppliedScience&Humanities,Glob
2、alInstituteofManagement&Technology,Krishnagar,WestBengal-741102,INDIAmathsrup@gmail.comABSTRACTThispaperintroducesanewstockportfolioselectionmodelinnon-stochasticenvironment.Followingtheprincipleofmaximumentropy,anewentropy-costratiofunctionisintroducedastheobjectivefunct
3、ion.Theuncertainreturns,risksanddividendsofthesecuritiesareconsideredasintervalnumbers.Alongwiththeobjectivefunction,eightdifferenttypesofconstraintsareusedinthemodeltoconvertitintoapragmaticone.Threedifferentmodelshavebeenproposedbydefiningthefuturefinancialmarketoptimis
4、tically,pessimisticallyandinthecombinedformtomodeltheportfolioselectionproblem.Toillustratetheeffectivenessandtractabilityoftheproposedmodels,thesearetestedonasetofdatafromBombayStockExchange(BSE).Thesolutionhasbeendonebygeneticalgorithm.KEYWORDSStockPortfolioSelection,In
5、tervalNumbers,Entropy-CostRatiomodel,Dividend,GeneticAlgorithm.1.INTRODUCTIONLouisBacheliers[1]dissertationtheoryonspeculationin1900isprobablythefirstattempttothemodernmathematicalmodelsoffinance.In1952,Markowitz[2]prominentlystartstheevolutioninmodernportfolioselectionmo
6、delanalysisandfinancemanagementera.Manyreasonableworksweredonesincetheninthisarea;thecommonattemptwasmaximizingthereturnorminimizingtherisk.Allocationofcapitalfractionindifferentriskyassetsinthemostefficientwaywasalwaysthegoaloftheresearchers.Manyinterestingworkshavebeend
7、oneusingdifferentconceptsandconstraints.Somereasonableworksweredoneusingthefirsttwomomentsofreturndistributions.Someresearchersalsohaveusedhigherordermoments.Arditti[3],Samuelson[4],KrausandLitzenberger[5],Konnoetal.[6],KonnoandSuzuki[7],Liuetal.[8],Prakashetal.[9],Lai[10
8、],Chunhachindaetal.[11],Briecetal.[12],Yuetal.[13]aresomeamongthoseresearcherswhohaveinvokedthes
