A possibilistic portfolio model with borrowing and bounded constraints and its application

Author

Chen, Wei

Author_Institution

Sch. of Inf. Eng., Capital Univ. of Econ. & Bus., Beijing

fYear

2008

fDate

2-4 July 2008

Firstpage

804

Lastpage

808

Abstract

In this paper, a portfolio selection problem with fuzzy return rates is discussed. On the basis of the possibilistic mean and variance, a possibilistic portfolio model with borrowing and bounded constraints is proposed. The conventional probabilistic mean-variance model is simplified and extended under possibility distributions. At last, a numerical example of a portfolio selection problem is given to illustrate the behavior of the proposed portfolio selection model.

Keywords

fuzzy set theory; investment; possibility theory; probability; risk analysis; borrowing constraint; bounded constraint; fuzzy return rate; investment return risk measure; portfolio selection problem; possibilistic portfolio model; possibility distribution; probabilistic mean-variance model; Electronic mail; Fuzzy sets; Gaussian distribution; Investments; Large-scale systems; Optimization methods; Portfolios; Possibility theory; Quadratic programming; Stochastic processes; Optimization; Portfolio Selection; Possibilistic Mean; Possibility Theory;

fLanguage

English

Publisher

ieee

Conference_Titel

Control and Decision Conference, 2008. CCDC 2008. Chinese

Conference_Location

Yantai, Shandong

Print_ISBN

978-1-4244-1733-9

Electronic_ISBN

978-1-4244-1734-6

Type

conf

DOI

10.1109/CCDC.2008.4597424

Filename

4597424