Portfolio selection based on fuzzy probabilities and possibility distributions

被引：269
|
作者：
Tanaka, H
Guo, P
Türksen, IB
机构：
[1] Univ Osaka Prefecture, Dept Ind Engn, Sakai, Osaka 5998531, Japan
[2] Univ Toronto, Dept Ind Engn, Toronto, ON M5S 1A4, Canada
来源：
FUZZY SETS AND SYSTEMS | 2000年 / 111卷 / 03期
关键词：
D O I：
10.1016/S0165-0114(98)00041-4
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
In this paper, two kinds of portfolio selection models are proposed based on fuzzy probabilities and possibility distributions, respectively, rather than conventional probability distributions in Markowitz's model. Since fuzzy probabilities and possibility distributions are obtained depending on possibility grades of security data offered by experts, investment experts' knowledge can be reflected. A numerical example of a portfolio selection problem is given to illustrate our proposed approaches. (C) 2000 Published by Elsevier Science B.V. All rights reserved..
引用
收藏
页码：387 / 397
页数：11
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