Abstract
This paper discusses the portfolio selection problem based on the possibilistic theory. The possibilistic portfolio model with general constraints to investment is proposed by means of possibilistic mean value and possibilistic variance. The conventional probabilistic mean-variance model can be simplified under the assumption that the returns of assets are triangular fuzzy numbers. Finally, a numerical example of the portfolio selection problem is given to illustrate our proposed effective means and approaches.
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Zhang, WG., Chen, Q., Lan, HL. (2006). A Portfolio Selection Method Based on Possibility Theory. In: Cheng, SW., Poon, C.K. (eds) Algorithmic Aspects in Information and Management. AAIM 2006. Lecture Notes in Computer Science, vol 4041. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11775096_34
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DOI: https://doi.org/10.1007/11775096_34
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-35157-3
Online ISBN: 978-3-540-35158-0
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