Portfolio selection based on fuzzy probabilities and possibility distributions
The optimal portfolio selection has been based on the conventional “Mean-Variance Formulation” of Markowitz model. This analysis is first extended to an analytical model based on fuzzy probabilities and possibility distributions, respectively. Unlike the fundamental Mean-Variance Formulation of Markowitz model, the portfolio selection based on fuzzy probabilities and possibility distributions are obtained depending on the data offered by financial experts. Thus expert's knowledge can be reflected in this portfolio selection. Furthermore, the security returns are treated as stochastic random variables with fuzzy information. This leads to a hybrid intelligent algorithm to solve the optimization problem. We used method based on “Linear Matrix Inequalities (LMI)” to compare the existing method for such portfolio selection.
"Portfolio selection based on fuzzy probabilities and possibility distributions"
ETD Collection for Tennessee State University.