Fuzzy portfolio selection problem under uncertain exit time

Uncertainty over exit time is an important practical issue faced by most investors. In this paper, we introduce the notations of the possibilistic mean, variance and covariance of fuzzy numbers to generalize Markowitz analysis. In the first time, we consider the uncertain investment period from the point of view of possibilistic analysis, and build the possibilistic models of portfolio selection under the situations involving uncertainty over the time horizon. The exit time can be either independent or dependent of asset price behavior. Moreover, an numerical example is presented to show the application of our results.