Portfolio selection under independent possibilistic information
This paper deals with a portfolio selection problem with independently estimated possibilistic return rates. Under such a circumstance, a distributive investment has been regarded as a good solution in the traditional portfolio theory. However, the conventional possibilistic approach yields a concentrated investment solution. Considering the reason why a distributive investment is advocated, a new approach to the possibilistic portfolio selection is proposed. (C) 2000 Elsevier Science B.V. All rights reserved.
portfolio selection possibilistic programming minimax regret linear programming necessity measure