| Article ID: | iaor200969274 |
| Country: | Romania |
| Volume: | 8 |
| Issue: | 1 |
| Start Page Number: | 99 |
| End Page Number: | 107 |
| Publication Date: | Jan 2006 |
| Journal: | Advanced Modeling and Optimization |
| Authors: | Wang Shouyang, Fang Yong, Chen Guohua, Chen Shou |
| Keywords: | portfolio selection |
This paper deals with a portfolio selection problem with fuzzy return rates. A possibilistic mean VaR model was proposed for portfolio selection. Specially, we present a mathematical programming model with possibilistic constraint. The possibilistic programming problem can be solved by transforming it into a linear programming problem. A numerical example is given to illustrate the behavior of the proposed model.