E. N. Grishina, A. V. Yazenin, “On some models and methods of investment portfolio optimization under hybrid uncertainty”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2012, Issue 3,Pages <nobr>97

Probabilistic Possibilistic Models

On some models and methods of investment portfolio optimization under hybrid uncertainty

E. N. Grishina, A. V. Yazenin

Tver State University, Tver

Abstract: In the paper the portfolio investment models by hybrid uncertainty (combined uncertainty: possibility-probability) are obtained. Precise equivalent analogues of the corresponding models are constructed: problems of mathematical programming.

Keywords: investment portfolio, fuzzy random variable, possibilistic-probabilistic programming, possibility measure, necessity measure.

UDC: 519.8

Received: 04.09.2012
Revised: 18.09.2012