Portfolio Selection Under Fuzzy and Stochastic Uncertainty

David L. Olson () and Desheng Wu ()
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David L. Olson: University of Nebraska
Desheng Wu: University of Toronto

Chapter Chapter 13 in Enterprise Risk Management Models, 2010, pp 171-183 from Springer

Abstract: Abstract Portfolio selection models are usually a must in the process of diagnosing risk exposures. This chapter presents portfolio selection under fuzzy and stochastic uncertainty. Portfolio selection regards asset selection which maximizes an investor’s return and minimizes her risk. In 1952, Markowitz published his pioneering work and laid the foundation of modern portfolio analysis. The core of the Markowitz mean variance model is to take the expected return of a portfolio as investment return and the variance of the expected return of a portfolio as investment risk. The main input data of the Markowitz mean variance model are expected returns and variance of expected returns of these securities.

Keywords: Fuzzy Number; Portfolio Selection; Fuzzy Variance; Triangular Fuzzy Number; Possibility Distribution (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-11474-8_13

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DOI: 10.1007/978-3-642-11474-8_13

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