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A Possibilistic Mean Absolute Deviation Portfolio Selection Model

  • Guo-hua Chen
  • Xiao-lian Liao
Part of the Advances in Soft Computing book series (AINSC, volume 54)

Abstract

This paper deals with a mean absolute deviation portfolio selection problem with fuzzy return rates under fuzzy liquidity constraint, a new possibilistic programming approach based on possibilistic mean and fuzzy liquidity has been proposed, the problem can be reduced to a linear programming by possibility theory. A numerical example of portfolio selection problem is given to illustrate our proposed approach.

Keywords

Portfolio selection absolute deviation possibilistic mean possibility theory fuzzy liquidity 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Guo-hua Chen
    • 1
  • Xiao-lian Liao
    • 1
  1. 1.Department of mathematicsHunan Institute of Humanities Science and Technology LoudiP.R. China

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