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2018 | OriginalPaper | Chapter

A Portfolio of Minimum Risk in a Hybrid Uncertainty of a Possibilistic-Probabilistic Type: Comparative Study

Authors : Alexander Yazenin, Ilia Soldatenko

Published in: Advances in Fuzzy Logic and Technology 2017

Publisher: Springer International Publishing

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Abstract

We investigate a minimum risk portfolio model under conditions of a hybrid uncertainty of a possibilistic-probabilistic type with weak and strong triangular norms (t-norms) describing the interaction of fuzzy factors of the model. For the case of the weakest t-norm, a formula for variance is derived, which makes it possible to estimate the risk of the portfolio. An equivalent crisp analog of the model is constructed and demonstrated on a numerical example.

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Title: A Portfolio of Minimum Risk in a Hybrid Uncertainty of a Possibilistic-Probabilistic Type: Comparative Study
Authors: Alexander Yazenin
Ilia Soldatenko
Publisher: Springer International Publishing
Book: Advances in Fuzzy Logic and Technology 2017
Print ISBN: 978-3-319-66826-0

Electronic ISBN: 978-3-319-66827-7

Copyright Year: 2018
DOI: https://doi.org/10.1007/978-3-319-66827-7_51

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