Abstract:
In the paper a problem of portfolio analysis in possibilistic-probabilistic context is investigated. As a model of an asset profitability a fuzzy random variable is used. To determine a portfolio risk function the crisp moments of the second order are used. A possibilistic-probabilistic model of minimal risk portfolio is presented. Its equivalent crisp (unfuzzy) analogue is obtained.
Keywords:portfolio of minimal risk, fuzzy random variable, equivalent crisp (unfuzzy) analogue, strongest and weakest $t$-norms.