A portfolio selection method based on possibility theory

被引：0
|
作者：
Zhang, Wei-Guo [1 ]
Chen, Qianqin
Lan, Hai-Lin
机构：
[1] S China Univ Technol, Sch Business Adm, Guangzhou 510641, Peoples R China
[2] Xi An Jiao Tong Univ, Sch Management, Xian 710049, Peoples R China
来源：
ALGORITHMIC ASPECTS IN INFORMATION AND MANAGEMENT, PROCEEDINGS | 2006年 / 4041卷
关键词：
D O I：
暂无
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
This paper discusses the portfolio selection problem based on the possibilistic theory. The possibilistic portfolio model with general constraints to investment is proposed by means of possibilistic mean value and possibilistic variance. The conventional probabilistic mean-variance model can be simplified under the assumption that the returns of assets are triangular fuzzy numbers. Finally, a numerical example of the portfolio selection problem is given to illustrate our proposed effective means and approaches.
引用
收藏
页码：367 / 374
页数：8
相关论文
共 50 条
  • [1] Linear Efficacy Method for a Portfolio Selection with Bounded Assets Based on Possibility Theory
    Deng, Xue
    Li, Rongjun
    Deng, Xue
    Wan, Yanchun
    ICCIT: 2009 FOURTH INTERNATIONAL CONFERENCE ON COMPUTER SCIENCES AND CONVERGENCE INFORMATION TECHNOLOGY, VOLS 1 AND 2, 2009, : 602 - +
  • [2] Weighted Portfolio Selection Models Based on Possibility Theory
    Chen, Wei
    FUZZY INFORMATION AND ENGINEERING, 2009, 1 (02) : 115 - 127
  • [3] A portfolio selection model with borrowing constraint based on possibility theory
    Deng, Xue
    Li, Rongjun
    APPLIED SOFT COMPUTING, 2012, 12 (02) : 754 - 758
  • [4] Multiperiod Fuzzy Portfolio Selection Optimization Model Based on Possibility Theory
    Liu, Yong-Jun
    Zhang, Wei-Guo
    INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, 2018, 17 (03) : 941 - 968
  • [5] Fuzzy portfolio selection with prospect consistency constraint based on possibility theory
    Deng, Xue
    Chen, Chuangjie
    JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2021, 40 (03) : 4637 - 4660
  • [6] Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
    Deng, Xue
    Li, Rongjun
    INFORMATION SCIENCES, 2014, 259 : 16 - 24
  • [7] Portfolio selection based on fuzzy probabilities and possibility distributions
    Tanaka, H
    Guo, P
    Türksen, IB
    FUZZY SETS AND SYSTEMS, 2000, 111 (03) : 387 - 397
  • [8] Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns
    Hasuike, Takashi
    Ishii, Hiroaki
    THEORETICAL ADVANCES AND APPLICATIONS OF FUZZY LOGIC AND SOFT COMPUTING, 2007, 42 : 314 - +
  • [9] Several Extended Mean-variance Fuzzy Portfolio Selection Models Based on Possibility Theory
    Ramli, Suhailywati
    Jaaman, Saiful Hafizah
    14TH INTERNATIONAL SYMPOSIUM ON GEOMETRIC FUNCTION THEORY AND APPLICATIONS, 2019, 1212
  • [10] Portfolio Selection Based on Bayesian Theory
    Zhao, Daping
    Fang, Yong
    Zhang, Chaoliang
    Wang, Zongrun
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2019, 2019
12345