IDEAS home Printed from https://ideas.repec.org/a/ids/ijores/v22y2015i3p287-309.html
   My bibliography  Save this article

New methods for portfolio selection problem with fuzzy random variable returns

Author

Listed:
  • Javad Nematian

Abstract

In conventional portfolio optimisation models, the market condition is predicted by historical data and the asset returns are random variables. In this paper, a special class of portfolio selection problems is introduced where the asset returns are fuzzy random variables. Then, the proposed problem is formulated and solved by using new methods. In the presented methods, we use the scalar expected value of fuzzy random variables and fuzzy stochastic chance-constrained programming based on possibility and necessity measures. Furthermore, a numerical example is also given to show the efficiency of the methods discussed in this paper.

Suggested Citation

  • Javad Nematian, 2015. "New methods for portfolio selection problem with fuzzy random variable returns," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 22(3), pages 287-309.
    • Handle: RePEc:ids:ijores:v:22:y:2015:i:3:p:287-309
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=68284
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijores:v:22:y:2015:i:3:p:287-309. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=170 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.