Journal
SOFT COMPUTING
Volume 13, Issue 6, Pages 627-633Publisher
SPRINGER
DOI: 10.1007/s00500-008-0335-7
Keywords
Possibilistic mean value; Possibilistic variance; LR-type fuzzy number; Portfolio selection
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Funding
- National Natural Science Foundation of China [70571024]
- NCET [06-0749]
- China Postdoctoral Science Foundation [2005037241]
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This paper deals with the portfolio selection problem when the returns of assets obey LR-type possibility distributions and there exist the limits on holdings. A new possibilistic mean-variance model to portfolio selection is proposed based on the definitions of the possibilistic return and possibilistic risk, which can better integrate an uncertain decision environment with vagueness and ambiguity. This possibilistic mean-variance model can be regarded as extensions of conventional probabilistic mean-variance methodology and previous possibilistic approaches since it contains less parameter and has a more extensive application. A numerical example of a possibilistic fuzzy portfolio selection problem is given to illustrate our proposed effective means and approaches.
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