Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641812 | Journal of Computational and Applied Mathematics | 2009 | 8 Pages |
Abstract
In this paper, we introduce the definitions of the possibilistic mean, variance and covariance of multiplication of fuzzy numbers, and show some properties of these definitions. Then, we apply these definitions to build the possibilistic models of portfolio selection under the situations involving uncertainty over the time horizon, by considering the portfolio selection problem from the point of view of possibilistic analysis. Moreover, numerical experiments with real market data indicate that our approach results in better portfolio performance.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Wei Chen, Shaohua Tan,