A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming

  title={A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming},
  author={Takashi Hasuike and Hiroaki Ishii},
  journal={2009 IEEE International Conference on Fuzzy Systems},
This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this proposed problem is not well-defined due to primary and secondary fuzziness, introducing the possibility measure that the total return is more than the target value, the main problem is transformed into the type-1 fuzzy programming problem with the interval value. Furthermore, using the hybrid solution approach based on the linearity… CONTINUE READING

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