A note on “Portfolio selection under possibilistic mean-variance utility and a SMO algorithm”

Marco Corazza ()

European Journal of Operational Research, 2021, vol. 288, issue 1, 343-345

Abstract: In a paper published in this journal – Zhang W.-G., Zhang X.-L., Xiao W.-L. (2009), Portfolio selection under possibilistic mean-variance utility and a SMO algorithm. European Journal of Operational Research, 197(2), 693-700 –, the Authors investigate a fuzzy approach to the portfolio selection problem in which the stock returns are represented in terms of trapezoidal fuzzy numbers. In this note, we show that the expression provided for the possibilistic covariance is not consistent with the definition of possibilistic covariance given in the paper itself, and we derive the right expression for such a covariance.

Keywords: Portfolio selection model; Trapezoidal fuzzy number; Possibilistic covariance (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:288:y:2021:i:1:p:343-345

DOI: 10.1016/j.ejor.2020.05.039

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