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**Portfolio selection under independent possibilistic information.**
*(English)*
Zbl 0982.91028

Summary: 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.

### Keywords:

possibilistic programming; portfolio selection; minimax regret; linear programming; necessity measure
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\textit{M. Inuiguchi} and \textit{T. Tanino}, Fuzzy Sets Syst. 115, No. 1, 83--92 (2000; Zbl 0982.91028)

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### References:

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[4] | Inuiguchi, M.; Ichihashi, H.; Kume, Y., Modality constrained programming problems: A unified approach to fuzzy mathematical programming problems in the setting of possibility theory, Inform. sci., 67, 93-126, (1993) · Zbl 0770.90078 |

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[7] | Markowitz, H., Portfolio selectionefficient diversification of investments, (1959), Wiley New York |

This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.