A note on “Portfolio selection under possibilistic mean-variance utility and a SMO algorithm”

In a paper published in this journal –Zhang W.-G., Zhang X.-L., Xiao W.-L. (2009), Portfolio selection under possibilistic mean-variance utility and a SMO algorithm. European Journal of Operational Research , 197(2), 693-700 –, the Authors investigate a fuzzy approach to the portfolio selection problem in which the stock returns are represented in terms of trapezoidal fuzzy numbers. In this note, we show that the expression provided for the possibilistic covariance is not consistent with the definition of possibilistic covariance given in the paper itself, and we derive the right expression for such a covariance.