Weighted portfolio selection models based on possibility theory

Wei Chen ()
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Wei Chen: Capital University of Economics and Business

Fuzzy Information and Engineering, 2009, vol. 1, issue 2, 115-127

Abstract: Abstract In this paper, we discuss portfolio selection problem in a fuzzy uncertain environment. Based on the Fullér’s and Zhang’s notations, we discuss some properties of weighted lower and upper possibilistic means and variances as in probability theory. We further present two weighted possibilistic portfolio selection models with bounded constraint, which can be transformed to linear programming problems under the assumption that the returns of assets are trapezoidal fuzzy numbers. At last, a numerical example is given to illustrate our proposed effective means and approaches.

Keywords: Portfolio selection; Weighted possibilistic mean; Weighted possibilistic variance; Linear programming (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s12543-009-0010-4

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