A possibilistic approach to selecting portfolios with highest utility score
Fuzzy Sets and Systems - Special issue: Soft decision analysis
A survey of credibility theory
Fuzzy Optimization and Decision Making
Risk curve and fuzzy portfolio selection
Computers & Mathematics with Applications
Portfolio selection with fuzzy returns
Journal of Intelligent & Fuzzy Systems: Applications in Engineering and Technology
Mean-semivariance models for fuzzy portfolio selection
Journal of Computational and Applied Mathematics
Chance measure for hybrid events with fuzziness and randomness
Soft Computing - A Fusion of Foundations, Methodologies and Applications - Special issue on Uncertainty Analysis and Decision Making; Guest Editors: Yan-Kui Liu, Baoding Liu, Jinwu Gao
Uncertainty Theory
Expected value of fuzzy variable and fuzzy expected value models
IEEE Transactions on Fuzzy Systems
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This paper discusses the hybrid portfolio selection problem in the situation where only some security returns can be well reflected by their past data and are suitable to be described by random variables, but the other security returns can hardly be predicted through the historical data and are suitable to be described by fuzzy variables. By using chance theory, this paper extends the risk curve to hybrid portfolio selection and develops a hybrid mean-risk model. In addition, the way for computing the expected value and the risk curve of the hybrid portfolio return is provided and a genetic algorithm is presented for finding the optimal solution. As an illustration, an example is also provided.