Possibility portfolio selection

Author

Tanaka, Hideo ; Nakayama, Hideo ; Yanagimoto, Akiko

Author_Institution

Dept. of Ind. Eng., Osaka Prefecture Univ., Japan

Volume

2

fYear

1995

fDate

20-24 Mar 1995

Firstpage

813

Abstract

This paper deals with an exponential possibility distribution and its application to portfolio selection problems. The proposed method for possibility portfolio selection is based on a possibility distribution whereas conventional portfolio selection is based on a probability distribution. Since a possibility distribution depends on importance grades of data given by an expert, possibility portfolio selection can reflect the characteristics of expert judgement on importance grades. In order to compare a possibility portfolio model with a fuzzy one, a fuzzy portfolio model is formulated by the concept of the fuzzy probability, which is similar to Markowitz´s model

Keywords

finance; fuzzy set theory; investment; possibility theory; probability; Markowitz´s model; exponential possibility distribution; fuzzy portfolio model; fuzzy probability; portfolio selection; Data analysis; Data security; Exponential distribution; Industrial engineering; Investments; Mathematics; Portfolios; Possibility theory; Probability distribution; Quadratic programming;

fLanguage

English

Publisher

ieee

Conference_Titel

Fuzzy Systems, 1995. International Joint Conference of the Fourth IEEE International Conference on Fuzzy Systems and The Second International Fuzzy Engineering Symposium., Proceedings of 1995 IEEE Int

Conference_Location

Yokohama

Print_ISBN

0-7803-2461-7

Type

conf

DOI

10.1109/FUZZY.1995.409776

Filename

409776