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The Weighted Possibilistic Mean Variance and Covariance of Fuzzy Numbers
Keywords
portfolio selection, VaR, possibilistic mean value, possibilistic theory, weighted possibilistic mean, Fuzzy theory
Abstract
In the context of Markowitz portfolio selection problem (Markowitz,1959), this paper develops a “weighted” possibilistic mean-variance and covariance portfolio selection model. In the process of selecting a portfolio, this work is concerned with the choice of the portfolio (Markowitz,1952).
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