A Type-2 Fuzzy Portfolio Selection Problem Considering Possibility Measure and Crisp Possibilistic Mean Value

This paper considers a portfolio selection problem with type-2 fuzzy future returns involving ambiguous and subjectivity. Since this proposed problem is not well-defined due to fuzziness, introducing the fuzzy goal for the total future return and the degree of possibility, the main problem is transformed into the standard fuzzy programming problem including the secondary fuzzy numbers. Furthermore, using the hybrid solution approaches based on the linearity of the deterministic equivalent problem and the crisp possibilistic mean value, the efficient solution is constructed. Keywords-- Portfolio selection, Type-2 fuzzy, Possibility measure, Crisp possibilistic mean value, Efficient solution method

• Type: Journal
• Year: 2009
• Where: EUSFLAT
• Authors: Takashi Hasuike, Hiroaki Ishii
• Keywords: EUSFLAT 2009, Future Return, Fuzzy Logic, Fuzzy Programming Problem, Possibilistic Mean Value