Survey for Portfolio Selection Under Fuzzy Uncertain Circumstances

Uncertainties about future events make the behavior of economic indicators unpredictable and, at times, brings about turbulence to financial markets. Assumptions about their behavior, while allocating resources, under an uncertain and ever-changing environment, are the building blocks for theories of economics and finance. The theories have been used to apply mathematical analytical tools to model both the behavior of the economic agents, and future events in financial markets. Resource allocation methods derived from modern mathematical models, in turn, play an influential role in work practices of financial institutions, and in a way, become a not-insignificant tool used in the financial markets.

This chapter surveys the main progress in fuzzy portfolio selection. In the next section, we introduce portfolio selection models based on the fuzzy decision theory. Portfolio selection approaches using possibilistic programming and interval programming are reviewed in Sections 3 and 4, respectively.