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.


91G10 Portfolio theory
90C05 Linear programming
Full Text: DOI


[1] Dubois, D.; Prade, H., Fuzzy Sets and SystemsTheory and Applications (1980), Academic Press: Academic Press New York · Zbl 0444.94049
[2] Inuiguchi, M., Stochastic programming problems versus fuzzy mathematical programming problems, Jpn. J. Fuzzy Theory Systems, 4, 97-109 (1992) · Zbl 0807.90127
[3] Inuiguchi, M.; Ichihashi, H.; Kume, Y., Relationships between modality constrained programming problems and various fuzzy mathematical programming problems, Fuzzy Sets and Systems, 49, 243-259 (1992) · Zbl 0786.90090
[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
[5] Inuiguchi, M.; Sakawa, M., Minimax regret solution to linear programming problems with an interval objective function, Eur. J. Oper. Res., 86, 526-536 (1995) · Zbl 0914.90196
[6] Inuiguchi, M.; Sakawa, M., An achievement rate approach to linear programming problems with an interval objective function, J. Oper. Res. Soc., 48, 25-33 (1997) · Zbl 0881.90095
[7] Markowitz, H., Portfolio SelectionEfficient Diversification of Investments (1959), Wiley: 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. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.