A Portfolio of Minimum Risk in a Hybrid Uncertainty of a Possibilistic-Probabilistic Type: Comparative Study

摘要

We investigate a minimum risk portfolio model under conditions of a hybrid uncertainty of a possibilistic-probabilistic type with weak and strong triangular norms (t-norms) describing the interaction of fuzzy factors of the model. For the case of the weakest t-norm, a formula for variance is derived, which makes it possible to estimate the risk of the portfolio. An equivalent crisp analog of the model is constructed and demonstrated on a numerical example.