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Distributed Computing and Artificial Intelligence pp 95–102Cite as

A Mixed Portfolio Selection Problem

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Part of the book series: Advances in Intelligent and Soft Computing ((AINSC,volume 151))

Abstract

The mixed portfolio selection problem studied in this paper corresponds to a situation of financial risk management in which some return rates are mathematically described by random variables and others are described by fuzzy numbers. Both Markowitz probabilistic model and a possibilistic portfolio selection model are generalized. A calculation formula for the optimal solution of the portfolio problem and a formula which gives the minimum value of the associated risk are proved.

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Author information

Authors and Affiliations

  1. Department of Economic Cybernetics, Academy of Economic Studies, Bucharest, Romania

    Irina Georgescu

  2. Department of Research, ETEA University, Cordoba, Spain

    Irina Georgescu

  3. Institute for Advanced Management Systems Research, Åbo Akademi University, Turku, Finland

    Jani Kinnunen

Authors
  1. Irina Georgescu
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  2. Jani Kinnunen
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Corresponding author

Correspondence to Irina Georgescu .

Editor information

Editors and Affiliations

  1. Dept. Computer Science &, Intelligent Systems, Osaka Prefecture University, Gakuen-chu 1-1, Sakai, Osaka, 599-8531, Japan

    Sigeru Omatu

  2. , Department of Computing Science, University of Salamanca, Plaza de la Merced S/N, Salamanca, 37008, Spain

    Juan F. De Paz Santana

  3. , Department of Computing Science, University of Salamanca, Plaza de la Merced S/N, Salamanca, 37008, Spain

    Sara Rodríguez González

  4. Escuela Politécnica Superior (EPS), Depto. Informática, Universidad Carlos III de Madrid, Avenida de la Universidad Carloss III 22, Madrid, 28270, Spain

    Jose M. Molina

  5. , Data Processing and Simulation Group, Universidad Politécnica de Madrid, Calle de Ramiro de Maeztu, 7, Madrid, 28040, Spain

    Ana M. Bernardos

  6. Faculty of Science, Department of Computing Science, University of Salamanca, Plaza de la Merced S/N, Salamanca, 37008, Spain

    Juan M. Corchado Rodríguez

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© 2012 Springer-Verlag Berlin Heidelberg

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Georgescu, I., Kinnunen, J. (2012). A Mixed Portfolio Selection Problem. In: Omatu, S., De Paz Santana, J., González, S., Molina, J., Bernardos, A., Rodríguez, J. (eds) Distributed Computing and Artificial Intelligence. Advances in Intelligent and Soft Computing, vol 151. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-28765-7_13

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  • DOI: https://doi.org/10.1007/978-3-642-28765-7_13

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-28764-0

  • Online ISBN: 978-3-642-28765-7

  • eBook Packages: EngineeringEngineering (R0)

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