Portfolio selection based on upper and lower exponential possibility distributions (Q1809830)

The authors consider a new approach to a portfolio selection introducing ideas from the theory of fuzzy sets into the framework of the Markowitz model. It allows to incorporate experts' knowledge and statistically available data. The upper and lower possibility distributions reflect two extreme opinions of experts. The corresponding portfolio selection models are formalized by quadratic optimization problems minimizing spreads of possibility returns subject to the given center returns. A numerical example is given to illustrate the approach.