Portfolio Selection Based on Distance between Fuzzy Variables

Abstract EN

This paper researches portfolio selection problem in fuzzy environment.

We introduce a new simple method in which the distance between fuzzy variables is used to measure the divergence of fuzzy investment return from a prior one.

Firstly, two new mathematical models are proposed by expressing divergence as distance, investment return as expected value, and risk as variance and semivariance, respectively.

Secondly, the crisp forms of the new models are also provided for different types of fuzzy variables.

Finally, several numerical examples are given to illustrate the effectiveness of the proposed approach.