Portfolio selection based on fuzzy probabilities and possibility distributions

@article{Tanaka2000PortfolioSB,
  title={Portfolio selection based on fuzzy probabilities and possibility distributions},
  author={Hideo Tanaka and Peijun Guo and I. Burhan T{\"u}rksen},
  journal={Fuzzy Sets and Systems},
  year={2000},
  volume={111},
  pages={387-397}
}
In this paper, two kinds of portfolio selection models are proposed based on fuzzy probabilities and possibility distributions, respectively, rather than conventional probability distributions in Markowitz’s model. Since fuzzy probabilities and possibility distributions are obtained depending on possibility grades of security data o ered by experts, investment experts’ knowledge can be re ected. A numerical example of a portfolio selection problem is given to illustrate our proposed approaches… CONTINUE READING
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