Portfolio Selection Problems Based on Fuzzy Interval Numbers Under the Minimax Rules

Abstract Recently, many researchers pay their attention to portfolio problems under minimax rules. Based on the uncertainty of the expected return of securities, therefore, it is of significant and interesting to study portfolio models based on fuzzy interval numbers under minimax rules(in briefly, PMFM). This PMFM-model can be regarded as a natural generalization of ordinarily portfolio model under the minimax rule. In the present paper, we study the PMFM-model and arrive at some similar and interesting conclusions. These conclusions imply that the optimal solution to PMFM is much better than that of the model without fuzzy interval numbers.