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Portfolio selection based on fuzzy probabilities and possibility distributions

✍ Scribed by Hideo Tanaka; Peijun Guo; I.Burhan Türksen

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
236 KB
Volume
111
Category
Article
ISSN
0165-0114

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✦ Synopsis

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 possibility grades of security data o ered by experts, investment experts' knowledge can be re ected. A numerical example of a portfolio selection problem is given to illustrate our proposed approaches.

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