Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 232, Issue 2, Pages 327-334Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.cam.2009.06.016
Keywords
Multiplication of fuzzy numbers; Possibilistic mean value; Possibilistic variance; Portfolio selection
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In this paper, we introduce the definitions of the possibilistic mean, variance and covariance of multiplication of fuzzy numbers, and show some properties of these definitions. Then, we apply these definitions to build the possibilistic models of portfolio selection under the situations involving uncertainty over the time horizon, by considering the portfolio selection problem from the point of view of possibilistic analysis. Moreover, numerical experiments with real market data indicate that our approach results in better portfolio performance. (C) 2009 Elsevier B.V. All rights reserved.
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