Selection of efficient portfolios–probabilistic and fuzzy approach, comparative study

This paper presents a new method for selection of efficient portfolios in a situation where parameters in the calculation of effectiveness are expressed in form of interactive fuzzy numbers and probability distribution. Fuzzy simulations are used for performing arithmetic operations on interactive fuzzy numbers. The process of selecting investment projects takes into account statistical and economic dependencies of projects. The paper contains comparison of results obtained in selection of efficient portfolios of investment projects in a situation where parameters in calculation of effectiveness were expressed in form of interactive fuzzy numbers or probability distributions.

► A problem of selecting the efficient portfolios of investment projects is analyzed.
► The model parameters can be defined by fuzzy numbers or probability distribution.
► The method enables an analysis of projects’ statistical and economic dependencies.
► The project economic dependencies significantly affect its effectiveness and risk.