Journal
KNOWLEDGE AND INFORMATION SYSTEMS
Volume 18, Issue 3, Pages 311-330Publisher
SPRINGER LONDON LTD
DOI: 10.1007/s10115-008-0133-7
Keywords
Weighted possibilistic mean; Weighted possibilistic variance; Knowledge discovery; Portfolio selection
Funding
- National Natural Science Foundation of China [70571024]
- NCET [06-0749]
- China Postdoctoral Science Foundation [2005037241]
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In this paper, we define the weighted lower and upper possibilistic variances and covariances of fuzzy numbers. We also obtain their many properties similar to variance and covariance in probability theory. On the basis of the weighted lower and upper possibilistic means and variances, we present two new possibilistic portfolio selection models with tolerated risk level and holdings of assets constraints. The conventional probabilistic mean-variance model can be transformed to a linear programming problem under possibility distributions. Finally, an estimation method of possibility distribution is offered and a real example for portfolio selection problem is given to illustrate the usability of the approach and the effectiveness of our methods.
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