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A Portfolio Selection Method Based on Possibility Theory

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Algorithmic Aspects in Information and Management (AAIM 2006)

Part of the book series: Lecture Notes in Computer Science ((LNISA,volume 4041))

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Abstract

This paper discusses the portfolio selection problem based on the possibilistic theory. The possibilistic portfolio model with general constraints to investment is proposed by means of possibilistic mean value and possibilistic variance. The conventional probabilistic mean-variance model can be simplified under the assumption that the returns of assets are triangular fuzzy numbers. Finally, a numerical example of the portfolio selection problem is given to illustrate our proposed effective means and approaches.

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Author information

Authors and Affiliations

  1. School of Business Administration, South China University of Technology, Guangzhou, 510641, P.R. China

    Wei-Guo Zhang, Qianqin Chen & Hai-Lin Lan

  2. School of Management, Xi’an Jiaotong University, Xi’an, 710049, P.R. China

    Wei-Guo Zhang

Authors
  1. Wei-Guo Zhang
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  2. Qianqin Chen
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  3. Hai-Lin Lan
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Editor information

Editors and Affiliations

  1. Department of Computer Science, Clear Water Bay, Hong Kong University of Science and Technology, Hong Kong, China

    Siu-Wing Cheng

  2. Department of Computer Science, City University of Hong Kong,  

    Chung Keung Poon

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© 2006 Springer-Verlag Berlin Heidelberg

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Zhang, WG., Chen, Q., Lan, HL. (2006). A Portfolio Selection Method Based on Possibility Theory. In: Cheng, SW., Poon, C.K. (eds) Algorithmic Aspects in Information and Management. AAIM 2006. Lecture Notes in Computer Science, vol 4041. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11775096_34

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  • DOI: https://doi.org/10.1007/11775096_34

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-35157-3

  • Online ISBN: 978-3-540-35158-0

  • eBook Packages: Computer ScienceComputer Science (R0)

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