Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
396067 | Information Sciences | 2007 | 15 Pages |
Abstract
In this paper, it is assumed that the rates of return on assets can be expressed by possibility distributions rather than probability distributions. We propose two kinds of portfolio selection models based on lower and upper possibilistic means and possibilistic variances, respectively, and introduce the notions of lower and upper possibilistic efficient portfolios. We also present an algorithm which can derive the explicit expression of the possibilistic efficient frontier for the possibilistic mean-variance portfolio selection problem dealing with lower bounds on asset holdings.
Related Topics
Physical Sciences and Engineering
Computer Science
Artificial Intelligence
Authors
Wei-Guo Zhang, Ying-Luo Wang, Zhi-Ping Chen, Zan-Kan Nie,