León, Teresa; Liern, Vicente; Marco, Paulina; Vicente … - In: Fuzzy Economic Review IX (2004) 1, pp. 61-77
This paper presents a new possibilistic programming approach to the portfolio selection problem. It is based on two issues: the approximation of the rates of return on securities by means of fuzzy numbers of trapezoidal form, for which we use the interval-valued ex-pectation defined by Dubois...