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.

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

Marco Corazza
2020

Abstract

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.
File in questo prodotto:
File Dimensione Formato  
EJOR-2021-A_note_on_“Portfolio_selection_under_possibilistic_mean_variance_utility_and_a_SMO_algorithm”.pdf

non disponibili

Descrizione: Articolo.
Tipologia: Versione dell'editore
Licenza: Accesso chiuso-personale
Dimensione 312.74 kB
Formato Adobe PDF
312.74 kB Adobe PDF   Visualizza/Apri

I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/3726310
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? 0
social impact