Abstract
This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linear programming ones are given in three special cases. In addition, a general solution algorithm is also provided. To help understand the modeling idea and to illustrate the effectiveness of the proposed algorithm, one example is presented.
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