Possibilistic mean-variance portfolios versus probabilistic ones: the winner is...

DOI10.1007/S10203-019-00234-1MaRDI QIDQ2331002zbMATH OpenOpenAlexFDO

Authors Marco Corazza, Carla Nardelli

Publication date 23 October 2019

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-019-00234-1

zbMATH Keywords

comparisonpossibilistic meanlower and upper possibilistic meansvariances and covariancesvariance and covariance \textit{à la} Carlsson-Fullér-Majlender

Mathematics Subject Classification ID

Portfolio theory (91G10) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 1293544 (Why is no real title available?)
• A possibilistic approach to selecting portfolios with highest utility score
• Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
• Fuzzy portfolio optimization model under real constraints
• Fuzzy portfolio selection problem with different borrowing and lending rates
• On possibilistic mean value and variance of fuzzy numbers
• Portfolio selection under independent possibilistic information
• Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Possibilistic mean-standard deviation models to portfolio selection for bounded assets
• The mean value of a fuzzy number

Cited in

(1)

• A new possibilistic mean-variance model based on the principal components analysis: an application on the Turkish holding stocks

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