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

DOI10.1007/S10203-019-00234-1zbMATH Open1426.91242OpenAlexW2920408764MaRDI QIDQ2331002FDOQ2331002

Carla Nardelli, Marco Corazza

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

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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)

Cites Work

• The mean value of a fuzzy number
• Portfolio selection under independent possibilistic information
• A possibilistic approach to selecting portfolios with highest utility score
• Possibilistic mean-standard deviation models to portfolio selection for bounded assets
• Title not available (Why is that?)
• On possibilistic mean value and variance of fuzzy numbers
• Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Fuzzy portfolio selection problem with different borrowing and lending rates
• Fuzzy portfolio optimization model under real constraints
• Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions

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