AAIM 2006: Algorithmic Aspects in Information and Management pp 367-374 | Cite as
A Portfolio Selection Method Based on Possibility Theory
Conference paper
Abstract
This paper discusses the portfolio selection problem based on the possibilistic theory. The possibilistic portfolio model with general constraints to investment is proposed by means of possibilistic mean value and possibilistic variance. The conventional probabilistic mean-variance model can be simplified under the assumption that the returns of assets are triangular fuzzy numbers. Finally, a numerical example of the portfolio selection problem is given to illustrate our proposed effective means and approaches.
Keywords
Fuzzy Number Portfolio Selection Risky Asset Triangular Fuzzy Number Portfolio Selection Problem
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