On Possibilistic Portfolio Selection Models
نویسنده
چکیده
We consider optimal portfolio selection problems in a possibilistic setting. Using the possibilistic framework, we can integrate more efficiently the experts’ knowledge and the investors’ subjective opinions into a portfolio selection model. In 2002 Carlsson, Fullér and Majlender considered portfolio selection problems under trapezoidal possibility distributions and presented an algorithm of complexity O(n3) for finding an exact optimal solution to the n-asset portfolio selection problem. In this paper we will give a short survey of some works, which extend and develop this possibilistic portfolio selection model.
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