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Minimax mean-variance models for fuzzy portfolio selection

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Abstract

This paper discusses fuzzy portfolio selection problem in the situation where each security return belongs to a certain class of fuzzy variables but the exact fuzzy variable cannot be given. Two credibility-based minimax mean-variance models are proposed. The crisp equivalents of the models to linear programming ones are given in three special cases. In addition, a general solution algorithm is also provided. To help understand the modeling idea and to illustrate the effectiveness of the proposed algorithm, one example is presented.

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Acknowledgments

This work was supported by National Natural Science Foundation of China Grant No.70871011, Program for New Century Excellent Talents in University, and the Fundamental Research Funds for the Central Universities.

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Authors and Affiliations

  1. School of Economics and Management, University of Science and Technology Beijing, Beijing, 100083, China

    Xiaoxia Huang

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  1. Xiaoxia Huang
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Correspondence to Xiaoxia Huang.

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Huang, X. Minimax mean-variance models for fuzzy portfolio selection. Soft Comput 15, 251–260 (2011). https://doi.org/10.1007/s00500-010-0654-3

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  • DOI: https://doi.org/10.1007/s00500-010-0654-3

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