A Mean-Variance Portfolio Selection Model with Interval-Valued Possibility Measures
Joint Authors
Sui, Yunyun
Hu, Jiangshan
Ma, Fang
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-08-29
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
In recent years, fuzzy set theory and possibility theory have been widely used to deal with an uncertain decision environment characterized by vagueness and ambiguity in the financial market.
Considering that the expected return rate of investors may not be a fixed real number but can be an interval number, this paper establishes an interval-valued possibilistic mean-variance portfolio selection model.
In this model, the return rate of assets is regarded as a fuzzy number, and the expected return rate of assets is measured by the interval-valued possibilistic mean of fuzzy numbers.
Therefore, the possibilistic portfolio selection model is transformed into an interval-valued optimization model.
The optimal solution of the model is obtained by using the order relations of interval numbers.
Finally, a numerical example is given.
Through the numerical example, it is shown that, when compared with the traditional possibilistic model, the proposed model has more constraints and can better reflect investor psychology.
It is an extension of the traditional possibilistic model and offers greater flexibility in reflecting investor expectations.
American Psychological Association (APA)
Sui, Yunyun& Hu, Jiangshan& Ma, Fang. 2020. A Mean-Variance Portfolio Selection Model with Interval-Valued Possibility Measures. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1194981
Modern Language Association (MLA)
Sui, Yunyun…[et al.]. A Mean-Variance Portfolio Selection Model with Interval-Valued Possibility Measures. Mathematical Problems in Engineering No. 2020 (2020), pp.1-12.
https://search.emarefa.net/detail/BIM-1194981
American Medical Association (AMA)
Sui, Yunyun& Hu, Jiangshan& Ma, Fang. A Mean-Variance Portfolio Selection Model with Interval-Valued Possibility Measures. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1194981
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1194981