A Class of Possibilistic Portfolio Selection Models and Algorithms

  • Wei-Guo Zhang
  • Wen-An Liu
  • Ying-Luo Wang
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3828)


In this paper, a crisp possibilistic variance and a crisp possibilistic covariance of fuzzy numbers are defined, which is different from the ones introduced by Carlsson and Fullér. The possibilistic portfolio selection model is presented on the basis of the possibilistic mean and variance under the assumption that the returns of assets are fuzzy numbers. Especially, Markowitz’s probabilistic mean-variance model is replaced a linear programming model when the returns of assets are symmetric fuzzy numbers. The possibilistic efficient frontier can be derived explicitly when short sales are not allowed on all risky assets and a risk-free asset.


Fuzzy Number Portfolio Selection Risky Asset Triangular Fuzzy Number Linear Programming Model 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Wei-Guo Zhang
    • 1
    • 3
  • Wen-An Liu
    • 2
  • Ying-Luo Wang
    • 3
  1. 1.School of Business AdministrationSouth China University of TechnologyGuangzhouP.R. China
  2. 2.College of Mathematics and Information ScienceHenan Normal UniversityXinxiangP.R. China
  3. 3.School of ManagementXi’an Jiaotong UniversityXi’anP.R. China

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