Portfolio selection under independent possibilistic information

doi:10.1016/S0165-0114(99)00026-3

Fuzzy Sets and Systems

Volume 115, Issue 1, 1 October 2000, Pages 83-92

https://doi.org/10.1016/S0165-0114(99)00026-3 Get rights and content

Abstract

This paper deals with a portfolio selection problem with independently estimated possibilistic return rates. Under such a circumstance, a distributive investment has been regarded as a good solution in the traditional portfolio theory. However, the conventional possibilistic approach yields a concentrated investment solution. Considering the reason why a distributive investment is advocated, a new approach to the possibilistic portfolio selection is proposed.

References (7)

M. Inuiguchi et al.
Relationships between modality constrained programming problems and various fuzzy mathematical programming problems
Fuzzy Sets and Systems
(1992)
M. Inuiguchi et al.
Modality constrained programming problems: A unified approach to fuzzy mathematical programming problems in the setting of possibility theory
Inform. Sci.
(1993)
M. Inuiguchi et al.
Minimax regret solution to linear programming problems with an interval objective function
Eur. J. Oper. Res.
(1995)

There are more references available in the full text version of this article.

Cited by (0)

^☆: This research was partly supported by the Ministry of Education, Science, Sports and Culture, Grant-in-Aid Scientific Research for Encouragement of Young Scientists, No. 08780426.

View full text

Portfolio selection under independent possibilistic information☆

Abstract

Fuzzy Sets and Systems

Inform. Sci.

Eur. J. Oper. Res.