Using Fuzzy Possibilistic Mean and Variance in Portfolio Selection Model
Using Fuzzy Possibilistic Mean and Variance in Portfolio Selection Model
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DOI：
10.1007/11596448_42
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发表时间：
2005-12
期刊：
影响因子：
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通讯作者：
Wei-guo Zhang;Yingluo Wang
中科院分区：
文献类型：
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作者：
Wei-guo Zhang;Yingluo Wang
金融市场中存在许多非概率因素，使得风险资产的收益率可以被看作是模糊数。本文讨论了基于模糊数的可能性均值和方差的投资组合选择问题，与传统的概率均值-方差方法相比，该方法能更好地描述具有模糊性和模糊性的不确定环境。当资产收益率为对称三角模糊数时，Markowitz的均值-方差模型被简化为线性规划，从而可以通过相关算法得到可能性有效投资组合。
There are many non-probabilistic factors that affect the financial markets such that the returns of risky assets may be regarded as fuzzy numbers. This paper discusses the portfolio selection problem based on the possibilistic mean and variance of fuzzy numbers, which can better described an uncertain environment with vagueness and ambiguity to compare with conventional probabilistic mean-variance methodology. Markowitz’s mean-variance model is simplified a linear programming when returns of assets are symmetric triangular fuzzy numbers, so the possibilistic efficient portfolios can be easily obtained by some related algorithms.