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A fuzzy portfolio selection method based on possibilistic mean and variance

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Abstract

This paper deals with the portfolio selection problem when the returns of assets obey LR-type possibility distributions and there exist the limits on holdings. A new possibilistic mean–variance model to portfolio selection is proposed based on the definitions of the possibilistic return and possibilistic risk, which can better integrate an uncertain decision environment with vagueness and ambiguity. This possibilistic mean–variance model can be regarded as extensions of conventional probabilistic mean–variance methodology and previous possibilistic approaches since it contains less parameter and has a more extensive application. A numerical example of a possibilistic fuzzy portfolio selection problem is given to illustrate our proposed effective means and approaches.

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Authors and Affiliations

  1. School of Business Administration, South China University of Technology, 510641, Guangzhou, People’s Republic of China

    Wei-Guo Zhang & Wei-Lin Xiao

  2. The School of Management, Xi’an Jiaotong University, 710049, Xi’an, Shaan’xi, People’s Republic of China

    Wei-Guo Zhang & Ying-Luo Wang

Authors
  1. Wei-Guo Zhang
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  2. Wei-Lin Xiao
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  3. Ying-Luo Wang
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Corresponding author

Correspondence to Wei-Guo Zhang.

Additional information

This project was supported by NCET (No.06-0749) and The National Natural Science Foundation of China (No.70571024).

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Zhang, WG., Xiao, WL. & Wang, YL. A fuzzy portfolio selection method based on possibilistic mean and variance. Soft Comput 13, 627–633 (2009). https://doi.org/10.1007/s00500-008-0335-7

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