Portfolio selection based on fuzzy probabilities and possibility distributions. (English) Zbl 1028.91551

Summary: 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 offered by experts, investment experts’ knowledge can be reflected. A numerical example of a portfolio selection problem is given to illustrate our proposed approaches.


91G10 Portfolio theory
60A99 Foundations of probability theory
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