A Linear Programming Model of Fuzzy Portfolio Selection Problem

This paper discusses the portfolio selection problem with the lower and upper bounds constraints to investment based on the possibilistic theory under the assumption that the returns of assets are fuzzy numbers. The possibilistic mean value of the return is termed measure of investment return and the possibilistic variance of the return is termed measure of investment risk. The conventional probabilistic mean-variance model can be simplified a linear programming under the assumption that the returns of assets are triangular fuzzy numbers. Finally, a numerical example of a portfolio selection problem is given to illustrate our proposed effective means and approaches.