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EUSFLAT
2009

A Type-2 Fuzzy Portfolio Selection Problem Considering Possibility Measure and Crisp Possibilistic Mean Value

8 years 11 months ago
A Type-2 Fuzzy Portfolio Selection Problem Considering Possibility Measure and Crisp Possibilistic Mean Value
This paper considers a portfolio selection problem with type-2 fuzzy future returns involving ambiguous and subjectivity. Since this proposed problem is not well-defined due to fuzziness, introducing the fuzzy goal for the total future return and the degree of possibility, the main problem is transformed into the standard fuzzy programming problem including the secondary fuzzy numbers. Furthermore, using the hybrid solution approaches based on the linearity of the deterministic equivalent problem and the crisp possibilistic mean value, the efficient solution is constructed. Keywords-- Portfolio selection, Type-2 fuzzy, Possibility measure, Crisp possibilistic mean value, Efficient solution method
Takashi Hasuike, Hiroaki Ishii
Added 17 Feb 2011
Updated 17 Feb 2011
Type Journal
Year 2009
Where EUSFLAT
Authors Takashi Hasuike, Hiroaki Ishii
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