Abstract
AbstractThere are many non-probabilistic factors that affect the financial markets such that the returns of risky assets may be regarded as fuzzy numbers. This paper discusses the portfolio selection problem based on the possibilistic mean and variance of fuzzy numbers, which can better described an uncertain environment with vagueness and ambiguity to compare with conventional probabilistic mean-variance methodology. Markowitz’s mean-variance model is simplified a linear programming when returns of assets are symmetric triangular fuzzy numbers, so the possibilistic efficient portfolios can be easily obtained by some related algorithms.KeywordsFuzzy NumberPortfolio SelectionRisky AssetUncertain EnvironmentPortfolio Selection ProblemThese 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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