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A Possibilistic Mean Absolute Deviation Portfolio Selection Model

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Fuzzy Information and Engineering

Part of the book series: Advances in Soft Computing ((AINSC,volume 54))

Abstract

This paper deals with a mean absolute deviation portfolio selection problem with fuzzy return rates under fuzzy liquidity constraint, a new possibilistic programming approach based on possibilistic mean and fuzzy liquidity has been proposed, the problem can be reduced to a linear programming by possibility theory. A numerical example of portfolio selection problem is given to illustrate our proposed approach.

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Author information

Authors and Affiliations

  1. Department of mathematics, Hunan Institute of Humanities Science and Technology Loudi, 417000, P.R. China

    Guo-hua Chen & Xiao-lian Liao

Authors
  1. Guo-hua Chen
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  2. Xiao-lian Liao
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Editor information

Editors and Affiliations

  1. Guangzhou Higher Education Mega Center, Guangzhou University, 230Wai Huan Xi Road, 510006, China

    Bing-yuan Cao

  2. Department of Mathematics, Hainan Normal University, Haikou, 571158, Hainan, P.R. China

    Cheng-yi Zhang

  3. Department of Electronic Information Engineering, Chongqing University of Science & Technology, 401331, Chongqing

    Tai-fu Li

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© 2009 Springer-Verlag Berlin Heidelberg

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Chen, Gh., Liao, Xl. (2009). A Possibilistic Mean Absolute Deviation Portfolio Selection Model. In: Cao, By., Zhang, Cy., Li, Tf. (eds) Fuzzy Information and Engineering. Advances in Soft Computing, vol 54. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-88914-4_49

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  • DOI: https://doi.org/10.1007/978-3-540-88914-4_49

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-88913-7

  • Online ISBN: 978-3-540-88914-4

  • eBook Packages: EngineeringEngineering (R0)

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