A generalized 3-component portfolio selection model

Authors:
Irina Georgescu;Jani Kinnunen
Affiliations:
Academy of Economic Studies, Department of Economic Cybernetics, Bucharest, Romania;Åbo Akademi University, IAMSR, Turku, Finland
Venue:
AIKED'12 Proceedings of the 11th WSEAS international conference on Artificial Intelligence, Knowledge Engineering and Data Bases
Year:
2012

Citing 6
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Abstract

In this paper we study a portfolio selection problem corresponding to a financial situation characterized by three components: some returns are mathematically described by random variables, other returns by fuzzy numbers, and a third group of returns by discrete fuzzy variables. The proposed model unifies probabilistic, possibilistic, and credibilistic aspects of portfolio selection. Both Markowitz probabilistic model and a possibilistic portfolio selection model are generalized. A calculation formula for the optimal solution of the portfolio problem and a formula which gives the minimum value of the associated risk are proved.