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
相关论文
共 50 条
  • [21] A Fuzzy Approach to Portfolio Selection
    Mohamed, Zulkifli
    Mohamad, Daud
    Samat, Omar
    SAINS MALAYSIANA, 2009, 38 (06): : 895 - 899
  • [22] Portfolio selection with fuzzy returns
    Huang, Xiaoxia
    JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2007, 18 (04) : 383 - 390
  • [23] FUZZY INFERENCES AND CONDITIONAL POSSIBILITY DISTRIBUTIONS
    BOUCHON, B
    FUZZY SETS AND SYSTEMS, 1987, 23 (01) : 33 - 41
  • [24] Policy selection based on a Markov model with fuzzy transition probabilities
    Kleyle, R
    deKorvin, A
    JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 1996, 4 (02) : 121 - 130
  • [25] Multiobjective Random Fuzzy Portfolio Selection Problems based on CAPM
    Hasuike, Takashi
    Katagiri, Hideki
    Ishii, Hiroaki
    2009 IEEE INTERNATIONAL CONFERENCE ON SYSTEMS, MAN AND CYBERNETICS (SMC 2009), VOLS 1-9, 2009, : 1316 - +
  • [26] Portfolio Selection Model with Transaction Costs Based on Fuzzy Information
    He, Ying-yu
    2010 2ND IEEE INTERNATIONAL CONFERENCE ON INFORMATION AND FINANCIAL ENGINEERING (ICIFE), 2010, : 148 - 152
  • [27] Investment Portfolio Selection Based on the Fuzzy "New Distance" Model
    He Honglei
    Zhu Yongming
    PROCEEDINGS OF THE 15TH INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS A-C, 2008, : 1955 - 1957
  • [28] Portfolio selection based on possibilistic mean and variance of fuzzy numbers
    Zhang, WG
    Nie, ZK
    PROCEEDINGS OF THE 7TH JOINT CONFERENCE ON INFORMATION SCIENCES, 2003, : 1149 - 1152
  • [29] Weapon Systems Portfolio Selection Based on Fuzzy Clustering Analysis
    Zhou, Zhexuan
    Dou, Yajie
    Xia, Boyuan
    Jiang, Jiang
    CONFERENCE PROCEEDINGS OF 2017 3RD IEEE INTERNATIONAL CONFERENCE ON CONTROL SCIENCE AND SYSTEMS ENGINEERING (ICCSSE), 2017, : 702 - 705
  • [30] A fuzzy portfolio selection method based on possibilistic mean and variance
    Zhang, Wei-Guo
    Xiao, Wei-Lin
    Wang, Ying-Luo
    SOFT COMPUTING, 2009, 13 (06) : 627 - 633
12345