Conference Paper

Using Fuzzy Possibilistic Mean and Variance in Portfolio Selection Model.

DOI: 10.1007/11596448_42 Conference: Computational Intelligence and Security, International Conference, CIS 2005, Xi'an, China, December 15-19, 2005, Proceedings, Part I
Source: DBLP

ABSTRACT There are many non-probabilistic factors that affect the financial markets such that the returns of risky assets may be regarded
as fuzzy numbers. This paper discusses the portfolio selection problem based on the possibilistic mean and variance of fuzzy
numbers, which can better described an uncertain environment with vagueness and ambiguity to compare with conventional probabilistic
mean-variance methodology. Markowitz’s mean-variance model is simplified a linear programming when returns of assets are symmetric
triangular fuzzy numbers, so the possibilistic efficient portfolios can be easily obtained by some related algorithms.

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