On weighted lower and upper possibilistic means and variances of fuzzy numbers and its application in decision

Authors:
Wei-Guo Zhang;Wei-Lin Xiao
Affiliations:
South China University of Technology, School of Business Administration, 510641, Guangzhou, People’s Republic of China;South China University of Technology, School of Business Administration, 510641, Guangzhou, People’s Republic of China
Venue:
Knowledge and Information Systems
Year:
2009

Citing 0
Cited 2

PSO-based possibilistc mean-variance model with transaction costs

CCDC'09 Proceedings of the 21st annual international conference on Chinese control and decision conference
Portfolio adjusting optimization under credibility measures

Journal of Computational and Applied Mathematics

Quantified Score

Hi-index	0.00

Visualization

Abstract

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.