publication . Article . 2011

Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates

Wei Chen; Yiping Yang; Hui Ma;
Open Access English
  • Published: 01 Jan 2011 Journal: Mathematical Problems in Engineering (issn: 1024-123X, eissn: 1563-5147, Copyright policy)
  • Publisher: Hindawi Publishing Corporation
As we know, borrowing and lending risk-free assets arise extensively in the theory and practice of finance. However, little study has ever investigated them in fuzzy portfolio problem. In this paper, the returns of each assets are assumed to be fuzzy variables, then following the mean-variance approach, a new possibilistic portfolio selection model with different interest rates for borrowing and lending is proposed, in which the possibilistic semiabsolute deviation of the return is used to measure investment risk. The conventional probabilistic mean variance model can be transformed to a linear programming problem under possibility distributions. Finally, a n...
free text keywords: TA1-2040, Mathematics, Engineering (General). Civil engineering (General), QA1-939, Article Subject
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publication . Article . 2011

Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates

Wei Chen; Yiping Yang; Hui Ma;