A Variance Multi-period Portfolio Model with Fixed Ratio Based on Ternary Interval Numbers

In portfolio problem, the expected return, risk etc. cannot be predicted precisely. The investor generally makes his portfolio decision according to his experience. So, deterministic portfolio selection is not a good choice for the investor. Portfolio selection of oil/ gas projects is a fundamental subject of capital budgeting in the energy sector. Interval number is widely used to model the problem in uncertain environments in most of the recent works. In this paper, we combine forecasting and decision-making, and utilize the concept of the ternary interval numbers to build a variance multi-period portfolio optimization model with fixed ratio. In addition, we also give three weak optimal solutions of the proposed model. Finally, these approaches are tested on a set of project data from CNOOC(China National Offshore Oil Corporation).