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Using Fuzzy Possibilistic Mean and Variance in Portfolio Selection Model

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Computational Intelligence and Security (CIS 2005)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 3801))

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Abstract

There are many non-probabilistic factors that affect the financial markets such that the returns of risky assets may be regarded as fuzzy numbers. This paper discusses the portfolio selection problem based on the possibilistic mean and variance of fuzzy numbers, which can better described an uncertain environment with vagueness and ambiguity to compare with conventional probabilistic mean-variance methodology. Markowitz’s mean-variance model is simplified a linear programming when returns of assets are symmetric triangular fuzzy numbers, so the possibilistic efficient portfolios can be easily obtained by some related algorithms.

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Author information

Authors and Affiliations

  1. The School of Management, Xi’an Jiaotong University, Xi’an, 710049, China

    Weiguo Zhang & Yingluo Wang

  2. School of Business Administration, South China University of Technology, Guangzhou, 510641, China

    Weiguo Zhang

Authors
  1. Weiguo Zhang
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  2. Yingluo Wang
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Editor information

Editors and Affiliations

  1. Microelectronic Instiute, Xidian University, 710071, Xi’an, China

    Yue Hao

  2. Department of Computer Science, Hong Kong Baptist University, Kowloon Tong, Hong Kong

    Jiming Liu

  3. School of Computer Science and Technology, Xidian University, Xi’an, China

    Yuping Wang

  4. Department of Computer Science, Hong Kong Baptist University, Hong Kong,  

    Yiu-ming Cheung

  5. School of Electrical and Electronic Engineering, University of Manchester, UK

    Hujun Yin

  6. Life Science Research Center, School of Electronic Engineering, Xidian University, 710071, Xi’an, Shaanxi, China

    Licheng Jiao

  7. Key Laboratory of Computer Networks and Information Security (Ministry of Education), Xidian University, 710071, Xi’an, China

    Jianfeng Ma

  8. National Laboratory of Antennas and Microwave Technology, Xidian University, 710071, Xi’an, Shanxi, P.R. China

    Yong-Chang Jiao

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© 2005 Springer-Verlag Berlin Heidelberg

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Zhang, W., Wang, Y. (2005). Using Fuzzy Possibilistic Mean and Variance in Portfolio Selection Model. In: Hao, Y., et al. Computational Intelligence and Security. CIS 2005. Lecture Notes in Computer Science(), vol 3801. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11596448_42

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  • DOI: https://doi.org/10.1007/11596448_42

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-30818-8

  • Online ISBN: 978-3-540-31599-5

  • eBook Packages: Computer ScienceComputer Science (R0)

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