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A Novel Game-Theoretical Approach for The Possibilistic Mean - Variance Model

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  • Furkan Göktaş

Abstract

Possibility theory is a significant tool to deal with imprecise probability and benefit from expert knowledge. Thus, the possibilistic mean-variance (MV) model is a considerable alternative for the portfolio selection problem. In this study, we propose an extension of the possibilistic MV model to the multiple market strategies where we assume that the possibility distributions of asset returns are given with triangular fuzzy numbers. The proposed extension related to the game theory is provided with a linear optimization problem. Thus, it can be solved with the Simplex algorithm as in this study. After giving the theoretical points, we illustrate it by using a numerical example.

Suggested Citation

  • Furkan Göktaş, 2024. "A Novel Game-Theoretical Approach for The Possibilistic Mean - Variance Model," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 12(1), pages 1-12, July.
    • Handle: RePEc:anm:alpnmr:v:12:y:2024:i:1:p:1-12
    DOI: https://doi.org/10.17093/alphanumeric.1244061
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    References listed on IDEAS

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    1. R.H. Tütüncü & M. Koenig, 2004. "Robust Asset Allocation," Annals of Operations Research, Springer, vol. 132(1), pages 157-187, November.
    2. Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
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    More about this item

    Keywords

    Fuzzy Set; Game Theory; Linear Optimization; Portfolio Selection; Possibility Theory;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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