Abstract
This paper deals with a mean absolute deviation portfolio selection problem with fuzzy return rates under fuzzy liquidity constraint, a new possibilistic programming approach based on possibilistic mean and fuzzy liquidity has been proposed, the problem can be reduced to a linear programming by possibility theory. A numerical example of portfolio selection problem is given to illustrate our proposed approach.
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Chen, Gh., Liao, Xl. (2009). A Possibilistic Mean Absolute Deviation Portfolio Selection Model. In: Cao, By., Zhang, Cy., Li, Tf. (eds) Fuzzy Information and Engineering. Advances in Soft Computing, vol 54. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-88914-4_49
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DOI: https://doi.org/10.1007/978-3-540-88914-4_49
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-88913-7
Online ISBN: 978-3-540-88914-4
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