Portfolio selection under independent possibilistic information

Authors
Inuiguchi, M Tanino, T
Citation
M. Inuiguchi et T. Tanino, Portfolio selection under independent possibilistic information, FUZ SET SYS, 115(1), 2000, pp. 83-92
Citations number
7
Categorie Soggetti
Engineering Mathematics
Journal title
FUZZY SETS AND SYSTEMS
ISSN journal
01650114 → ACNP
Volume
115
Issue
1
Year of publication
2000
Pages
83 - 92
Database
ISI
SICI code
0165-0114(20001001)115:1<83:PSUIPI>2.0.ZU;2-Z
Abstract
This paper deals with a portfolio selection problem with independently esti mated possibilistic return rates. Under such a circumstance, a distributive investment has been regarded as a good solution in the traditional portfol io theory. However, the conventional possibilistic approach yields a concen trated investment solution. Considering the reason why a distributive inves tment is advocated, a new approach to the possibilistic portfolio selection is proposed. (C) 2000 Elsevier Science B.V. All rights reserved.