A mean-variance portfolio selection model with interval-valued possibility measures
type: Item
instance of: scholarly article
title: A mean-variance portfolio selection model with interval-valued possibility measures
zbMATH Open document ID: 1459.91184
DOI: 10.1155/2020/4135740
author: Yunyun Sui
author: Jiangshan Hu
author: Fang Ma
published in: Mathematical Problems in Engineering
publication date: 2020-10-12T00:00:00Z
review text: Summary: In recent years, fuzzy set theory and possibility theory have been widely used to deal with an uncertain decision environment characterized by vagueness and ambiguity in the financial market. Considering that the expected return rate of investors may not be a fixed real number but can be an interval number, this paper establishes an interval-valued possibilistic mean-variance portfolio selection model. In this model, the return rate of assets is regarded as a fuzzy number, and the expected return rate of assets is measured by the interval-valued possibilistic mean of fuzzy numbers. Therefore, the possibilistic portfolio selection model is transformed into an interval-valued optimization model. The optimal solution of the model is obtained by using the order relations of interval numbers. Finally, a numerical example is given. Through the numerical example, it is shown that, when compared with the traditional possibilistic model, the proposed model has more constraints and can better reflect investor psychology. It is an extension of the traditional possibilistic model and offers greater flexibility in reflecting investor expectations.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C70
zbMATH DE Number: 7259601
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2020/4135740
OpenAlex ID: W3081543235
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description: scientific article; zbMATH DE number 7259601