A possibilistic mean VaR model for portofolio selection

A possibilistic mean VaR model for portofolio selection

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Article ID: iaor200969274
Country: Romania
Volume: 8
Issue: 1
Start Page Number: 99
End Page Number: 107
Publication Date: Jan 2006
Journal: Advanced Modeling and Optimization
Authors: , , ,
Keywords: portfolio selection
Abstract:

This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean VaR model was proposed for portfolio selection. Specially, we present a mathematical programming model with possibilistic constraint. The possibilistic programming problem can be solved by transforming it into a linear programming problem. A numerical example is given to illustrate the behavior of the proposed model.

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