The Comparison of the Optimal Portfolio Corresponding to Different Weight Functions

Correspond to Markowitz´s classical model and other models which derived from statistical instruments and a regular efficient market, the author deals with the returns on securities in fuzzy terms. On the basis of the weighted possibilistic means, we compare the interval-valued expectation caused by a class of weighted functions. And indicate different ambiguity averse practitioners can choose different weighted functions to optimal portfolio. Finally, an example is given to illustrate the behavior of the proposed method using real data from the Shanghai Stock Exchange.