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A possibilistic approach to selecting portfolios with highest utility score

Christer Carlsson, Robert Fullér, Péter Majlender, A possibilistic approach to selecting portfolios with highest utility score. Fuzzy Sets and Systems 131(1), 13–21, 2002.

Abstract:

The mean-variance methodology for the portfolio selection problem,
originally proposed by Marko\-witz, has been one of the most important research fields in modern finance. In this paper we will assume that (i) each investor can assign a welfare, or utility, score to competing investment portfolios based on the expected return and risk of the portfolios; and (ii)
the rates of return on securities are modelled by possibility distributions rather than probablity distributions. We will present an algorithm of complexity $o(n^3)$ for finding an exact optimal solution (in the sense of utility scores) to the $n$-asset portfolio selection problem under possibility
distributions.

BibTeX entry:

@ARTICLE{jCarlsson02a,
  title = {A possibilistic approach to selecting portfolios with highest utility score},
  author = {Carlsson, Christer and Fullér, Robert and Majlender, Péter},
  journal = {Fuzzy Sets and Systems},
  volume = {131},
  number = {1},
  pages = {13–21},
  year = {2002},
  keywords = {Mean-variance analysis; Possibility distributions,},
}

Belongs to TUCS Research Unit(s): Other

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