Portfolio adjusting optimization with added assets and transaction costs based on credibility measures

In response to changeful financial markets and investor’s capital, we discuss a portfolio adjusting problem with additional risk assets and a riskless asset based on credibility theory. We propose two credibilistic mean–variance portfolio adjusting models with general fuzzy returns, which take lending, borrowing, transaction cost, additional risk assets and capital into consideration in portfolio adjusting process. We present crisp forms of the models when the returns of risk assets are some deterministic fuzzy variables such as trapezoidal, triangular and interval types. We also employ a quadratic programming solution algorithm for obtaining optimal adjusting strategy. The comparisons of numeral results from different models illustrate the efficiency of the proposed models and the algorithm. © 2011 Elsevier B.V. All rights reserved.