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Title of Journal: Soft Comput

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Abbravation: Soft Computing

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Springer-Verlag

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10.1007/bf02219846

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1433-7479

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Minimax meanvariance models for fuzzy portfolio s

Authors: Xiaoxia Huang
Publish Date: 2010/09/19
Volume: 15, Issue: 2, Pages: 251-260
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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 credibilitybased minimax meanvariance 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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