A Mixed Portfolio Selection Problem
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.
KeywordsFuzzy Number Portfolio Selection Portfolio Selection Problem Portfolio Problem Portfolio Selection Model
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