A Possibilistic Mean VaR Model for Portfolio Selection

@inproceedings{Chen2006APM,
  title={A Possibilistic Mean VaR Model for Portfolio Selection},
  author={GuoHua Chen and Shou Chen and Yong Nan Fang and Shouyang Wang},
  year={2006}
}
Abstract: This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean VaR model was proposed for portfolio selection. Specially, we present a mathematical programming model with possibilistic constraint. The possibilistic programming problem can be solved by transforming it into a linear programming problem. A numerical example is given to illustrate the behavior of the proposed model. 

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