On weighted lower and upper possibilistic means and variances of fuzzy numbers and its application in decision |
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Authors: | Wei-Guo Zhang Wei-Lin Xiao |
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Affiliation: | 1. School of Business Administration, South China University of Technology, Guangzhou, 510641, People’s Republic of China
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Abstract: | In this paper, we define the weighted lower and upper possibilistic variances and covariances of fuzzy numbers. We also obtain
their many properties similar to variance and covariance in probability theory. On the basis of the weighted lower and upper
possibilistic means and variances, we present two new possibilistic portfolio selection models with tolerated risk level and
holdings of assets constraints. The conventional probabilistic mean–variance model can be transformed to a linear programming
problem under possibility distributions. Finally, an estimation method of possibility distribution is offered and a real example
for portfolio selection problem is given to illustrate the usability of the approach and the effectiveness of our methods. |
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Keywords: | |
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