N. A. Shefova, A. V. Yazenin, “Model of minimal risk portfolio in case of combined uncertainty”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2011, Issue 20,Pages <nobr>89

Methods of Optimization and Decision-Making

Model of minimal risk portfolio in case of combined uncertainty

N. A. Shefova, A. V. Yazenin

Tver State University, Tver

Abstract: The paper investigates a model of minimal risk portfolio depending on the level of probability, with which a possibilistic-probabilistic limitation, modeling acceptable level of portfolio profitability in a fuzzy random environment, is performed.

Keywords: minimal risk portfolio, fuzzy random variable, equivalent determinate analog, possibilistic-probabilistic environment.

UDC: 519.95

Received: 10.01.2011
Revised: 25.03.2011