A Mixed Portfolio Selection Problem

  • Irina Georgescu
  • Jani Kinnunen
Conference paper
Part of the Advances in Intelligent and Soft Computing book series (AINSC, volume 151)


The mixed portfolio selection problem studied in this paper corresponds to a situation of financial risk management in which some return rates are mathematically described by random variables and others are described by fuzzy numbers. Both Markowitz probabilistic model and a possibilistic portfolio selection model are generalized. A calculation formula for the optimal solution of the portfolio problem and a formula which gives the minimum value of the associated risk are proved.


Fuzzy Number Portfolio Selection Portfolio Selection Problem Portfolio Problem Portfolio Selection Model 
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 2012

Authors and Affiliations

  1. 1.Department of Economic CyberneticsAcademy of Economic StudiesBucharestRomania
  2. 2.Department of ResearchETEA UniversityCordobaSpain
  3. 3.Institute for Advanced Management Systems ResearchÅbo Akademi UniversityTurkuFinland

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