This paper uses the concept of possibilistic risk aversion to propose a new approach for portfolio selection in fuzzy environment. Using possibility theory, the possibilistic mean, variance, standard deviation and risk premium of a fuzzy number are established. Possibilistic Sharpe ratio is defined as the ratio of possibilistic risk premium and possibilistic standard deviation of a portfolio. T...

This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained so that a given expected return should be achieved. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between t...

High-technology projects are known as tools that help achieving productive forces through scientific and technological knowledge. These knowledge-based projects are associated with high levels of risks and returns. The process of high-technology project and project portfolio selection has technical complexities and uncertainties. This paper presents a novel two-parted method of high-technology ...

Portfolio selection is an important issue for researchers and practitioners. Compared with the conventional probabilistic mean-variance method, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, the portfolio selection model with transaction costs and lending is proposed by means of possibilistic mean and possibilistic variance under the assum...

This paper considers a portfolio selection problem with type-2 fuzzy future returns involving ambiguous and subjectivity. Since this proposed problem is not well-defined due to fuzziness, introducing the fuzzy goal for the total future return and the degree of possibility, the main problem is transformed into the standard fuzzy programming problem including the secondary fuzzy numbers. Furtherm...

in this paper, we consider portfolio selection problem in which security returns are regarded as fuzzy variables rather than random variables. we first introduce a concept of absolute deviation for fuzzy variables and prove some useful properties, which imply that absolute deviation may be used to measure risk well. then we propose two mean-absolute deviation models by defining risk as abs...

The portfolio construction problem usually has been viewed in the framework of risk-return trade-off. Using deterministic and stochastic portfolio models used to solve the problem lead to unrealistic results as both the expected return rate and the risk are vague. Moreover, the decision maker frequently deals with insufficient data when selecting a portfolio. Using fuzzy models allows removal o...