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...

Carlsson and Fuller [C. Carlsson, R. Fuller, On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems 122 (2001) 315–326] have introduced possibilisticmean, variance and covariance of fuzzy numbers and Fuller andMajlender [R. Fuller, P. Majlender, On weighted possibilistic mean and variance of fuzzy numbers, Fuzzy Sets and Systems 136 (2003) 363–374] have introduced the...

Recently, Carlsson and Fuller [C. Carlsson, R. Fuller, On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems 122 (2001) 315–326] have introduced possibilistic mean, variance and covariance of fuzzy numbers and Fuller and Majlender [R. Fuller, P. Majlender, On weighted possibilistic mean and variance of fuzzy numbers, Fuzzy Sets and Systems 136 (2003) 363–374] have in...

Possibility theory was initiated by Zadeh in 1978 as an alternative to probability theory. Probability theory is not efficient in the study of those uncertainty situations in which phenomena occur with a small frequency. In such cases it is preferable to apply techniques offered by possibility theory.In foundation of possibility theory one started on a paralel line with probability theory. Rand...

This paper deals with a portfolio selection problem based on the possibility theory under the assumption that the returns of assets are LR-type fuzzy numbers. A possibilistic portfolio model with transaction costs is proposed, in which the possibilistic mean value of the return is termed measure of investment return, and the possibilistic variance of the return is termed measure of investment r...

a r t i c l e i n f o A single-period portfolio selection theory provides optimal tradeoff between the mean and the variance of the portfolio return for a future period. However, in a real investment process, the investment horizon is usually multi-period and the investor needs to rebalance his position from time to time. Hence it is natural to extend the single-period fuzzy portfolio selection...

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...