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A Portfolio Selection Method Based on Possibility Theory

  • Wei-Guo Zhang
  • Qianqin Chen
  • Hai-Lin Lan
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4041)

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 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Wei-Guo Zhang
    • 1
    • 2
  • Qianqin Chen
    • 1
  • Hai-Lin Lan
    • 1
  1. 1.School of Business AdministrationSouth China University of TechnologyGuangzhouP.R. China
  2. 2.School of ManagementXi’an Jiaotong UniversityXi’anP.R. China

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