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JOURNALS // Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics] // Archive

Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2010, Issue 17, Pages 85–96 (Mi vtpmk302)

Socio-Economic Models

On one possibilistic-probabilistic model of minimal risk portfolio

A. V. Yazenin, N. A. Shefova

Tver State University, Tver

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.

UDC: 519.95

Received: 21.06.2010
Revised: 27.06.2010



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