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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.

MSC:

91G10 Portfolio theory
90C05 Linear programming
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References:

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