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A fuzzy portfolio selection method based on possibilistic mean and variance

✍ Scribed by Wei-Guo Zhang; Wei-Lin Xiao; Ying-Luo Wang

Publisher
Springer
Year
2008
Tongue
English
Weight
217 KB
Volume
13
Category
Article
ISSN
1432-7643

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πŸ“œ SIMILAR VOLUMES

On the possibilistic mean value and vari
On the possibilistic mean value and variance of multiplication of fuzzy numbers
✍ Wei Chen; Shaohua Tan πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 515 KB

In this paper, we introduce the definitions of the possibilistic mean, variance and covariance of multiplication of fuzzy numbers, and show some properties of these definitions. Then, we apply these definitions to build the possibilistic models of portfolio selection under the situations involving u

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In this paper, two kinds of portfolio selection models are proposed based on fuzzy probabilities and possibility distributions, respectively, rather than conventional probability distributions in Markowitz's model. Since fuzzy probabilities and possibility distributions are obtained depending on pos

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✍ Hui Peng; Genshiro Kitagawa; Min Gan; Xiaohong Chen πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 170 KB

## Abstract A new optimal portfolio selection method within the Markowitz mean–variance framework is presented in this paper. The model proposed in the paper includes expected return, trading risk, and in particular, a quadratic form in the transaction costs of the portfolio. Using this model yield