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Weighted portfolio selection models based on possibility theory

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  • Wei Chen

    (Capital University of Economics and Business)

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.

Suggested Citation

  • Wei Chen, 2009. "Weighted portfolio selection models based on possibility theory," Fuzzy Information and Engineering, Springer, vol. 1(2), pages 115-127, June.
    • Handle: RePEc:spr:fuzinf:v:1:y:2009:i:2:d:10.1007_s12543-009-0010-4
    DOI: 10.1007/s12543-009-0010-4
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    References listed on IDEAS

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    1. Huang, Xiaoxia, 2007. "Two new models for portfolio selection with stochastic returns taking fuzzy information," European Journal of Operational Research, Elsevier, vol. 180(1), pages 396-405, July.
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    8. Tanaka, Hideo & Guo, Peijun, 1999. "Portfolio selection based on upper and lower exponential possibility distributions," European Journal of Operational Research, Elsevier, vol. 114(1), pages 115-126, April.
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