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Generalized mean semi-absolute deviation model of portfolio selection based on uncertainty theory

Author

Listed:
  • Sanjoy Chhatri

    (National Institute of Technology Agartala)

  • Debasish Bhattacharya

    (National Institute of Technology Agartala)

  • Birojit Das

    (Amity University Kolkata)

Abstract

Portfolio selection problems, considering returns of the securities as uncertain variables, are an important area of contemporary research. In this line, linear and zigzag uncertainty distributions are popularly being used. These distributions contain two and three parameters, a, b and a, b, c, respectively. In this paper, two families of uncertainty distributions containing one arbitrary constant each have been introduced, and the properties are studied. Linear and zigzag uncertainty distributions then become a particular member of the respective family. This is achieved by introducing the arbitrary constants h and k, $$0 \le h

Suggested Citation

  • Sanjoy Chhatri & Debasish Bhattacharya & Birojit Das, 2025. "Generalized mean semi-absolute deviation model of portfolio selection based on uncertainty theory," Fuzzy Optimization and Decision Making, Springer, vol. 24(3), pages 431-456, September.
    • Handle: RePEc:spr:fuzodm:v:24:y:2025:i:3:d:10.1007_s10700-025-09452-2
    DOI: 10.1007/s10700-025-09452-2
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