Possibilistic mean–standard deviation models to portfolio selection for bounded assets

Abstract

Considering the uncertain returns of risky assets in capital markets as fuzzy numbers, we discuss the portfolio selection problem for bounded assets based on upper and lower possibilistic means and variances. The mean–standard deviation model for portfolio selection can be transformed to a linear programming under possibility distributions, so this methodology can be used to solve large-scale portfolio selection problems. A numerical example is used to illustrate our proposed effective means and approaches.