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Fuzzy random values of individual assets and the level of expected return (left) and the structure of the found minimum risk portfolio (right)

Fuzzy random values of individual assets and the level of expected return (left) and the structure of the found minimum risk portfolio (right)

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Figure 1. The possibility distribution function for a triangular class...
Figure 2. Fuzzy random values of individual assets and the level of...
Figure 3. Quasi-efficient frontier of the minimum risk portfolio with α...
On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed
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  • Feb 2024
The paper describes the methods for constructing a quasi-efficient frontier of minimum risk portfolio under conditions of hybrid uncertainty with allowed short sales. Investor’s acceptable level of expected return is defined in crisp and fuzzy forms. Obtained results are illustrated on a model example. The dependence of the quasi-efficient frontier...
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Context 1
... will consider the portfolio model in a possibilistic context. For the specified input data, the vector of optimal portfolio shares will be equal to: Figure 2 shows a graphical interpretation of fuzzy random variables that determine the profitability of individual assets (on the left), and the structure of the optimal portfolio (on the right). For each distribution, the dotted line shows one of the possible triangular fuzzy values characterizing the asset return spread (initially set by an expert). ...