Skip to main content
SpringerLink
Log in

Portfolio Selection: Possibilistic Mean-Variance Model and Possibilistic Efficient Frontier

  • Conference paper
Algorithmic Applications in Management (AAIM 2005)

Part of the book series: Lecture Notes in Computer Science ((LNISA,volume 3521))

Included in the following conference series:

Abstract

There are many non-probabilistic factors that affect the financial markets. In this paper, the possibilistic mean-variance model of portfolio selection is presented under the assumption that the returns of assets are fuzzy numbers, which can better integrate the experts’ knowledge and the managers’ subjective opinions to compare with conventional probabilistic mean-variance methodology. The possibilistic efficient frontier is derived explicitly when short sales are not allowed on all risky assets and a risk-free asset.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Markowitz, H.: Portfolio selection: efficient diversification of Investments. Wiley, New York (1959)

    Google Scholar 

  2. Perold, A.F.: Large-scale portfolio optimization. Management Science 30, 1143–1160 (1984)

    Article  MATH  MathSciNet  Google Scholar 

  3. Pang, J.S.: A new efficient algorithm for a class of portfolio selection problems. Operational Research 28, 754–767 (1980)

    MATH  Google Scholar 

  4. vörös, J.: Portfolio analysis-An analytic derivation of the efficient portfolio frontier. European journal of operational research 203, 294–300 (1986)

    Article  Google Scholar 

  5. Best, M.J., Hlouskova, J.: The efficient frontier for bounded assets. Math. Meth. Oper. Res. 52, 195–212 (2000)

    Article  MATH  MathSciNet  Google Scholar 

  6. Watada, J.: Fuzzy portfolio selection and its applications to decision making. Tatra Mountains Mathematical Publication 13, 219–248 (1997)

    MATH  MathSciNet  Google Scholar 

  7. Tanaka, H., Guo, P.: Portfolio selection based on upper and lower exponential possibility distributions. European Journal of Operational Research 114, 115–126 (1999)

    Article  MATH  Google Scholar 

  8. Tanaka, H., Guo, P., Burhan Türksen, I.: Portfolio selection based on fuzzy probabilities and possibility distributions. Fuzzy sets and systems 111, 387–397 (2000)

    Article  MATH  MathSciNet  Google Scholar 

  9. Zadeh, L.A.: Fuzzy Sets. Inform. and Control 8, 338–353 (1965)

    Article  MATH  MathSciNet  Google Scholar 

  10. Fullér, R., Majlender, P.: On weighted possibilistic mean and variance of fuzzy numbers. Fuzzy Sets and Systems 136, 363–374 (2003)

    Article  MATH  MathSciNet  Google Scholar 

  11. Zhang, W.G., Nie, Z.K.: On admissible efficient portfolio selection problem. Applied Mathematics and Compution 159, 357–371 (2004)

    Article  MATH  MathSciNet  Google Scholar 

  12. Yuan, Y.X., Sun, W.Y.: Optimal theory and methodology. Science and Technology Press, China (1997)

    Google Scholar 

  13. Wei, Q.L., Wang, R.S., Xu, B.: Mathematical programming theory. Beijing University of Aeronautics and Astronautics Press, China (1991)

    Google Scholar 

  14. Wang, S.Y., Zhu, S.S.: On fuzzy portfolio selection problems. Fuzzy Optimization and Decision Making 1, 361–377 (2002)

    Article  MATH  MathSciNet  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. School of Management, Xi’an Jiaotong University, Xi’an, 710049, P.R. China

    Wei-Guo Zhang & Ying-Luo Wang

  2. College of Business, South China University of Technology, Guangzhou, 510641, P.R. China

    Wei-Guo Zhang

Authors
  1. Wei-Guo Zhang
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Ying-Luo Wang
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Editors and Affiliations

  1. IBM Almaden Research Center, 650 Harry Road, 95120, San Jose, CA,  

    Nimrod Megiddo

  2. The State Key Lab for Manufacturing Systems Engineering, 710049, Xi’an, P.R. China

    Yinfeng Xu

  3. Department of Computer Science, Montana State University, 59717, Bozeman, MT, USA

    Binhai Zhu

Rights and permissions

Reprints and permissions

Copyright information

© 2005 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Zhang, WG., Wang, YL. (2005). Portfolio Selection: Possibilistic Mean-Variance Model and Possibilistic Efficient Frontier. In: Megiddo, N., Xu, Y., Zhu, B. (eds) Algorithmic Applications in Management. AAIM 2005. Lecture Notes in Computer Science, vol 3521. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11496199_23

Download citation

  • DOI: https://doi.org/10.1007/11496199_23

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-26224-4

  • Online ISBN: 978-3-540-32440-9

  • eBook Packages: Computer ScienceComputer Science (R0)

Publish with us

Policies and ethics

Search

Navigation