Li, Ting; Zhang, Weiguo; Xu, Weijun - In: Economic Modelling 31 (2013) C, pp. 12-17
We propose a possibilistic portfolio model with VaR constraint and risk-free investment based on the possibilistic mean and variance, while assuming that the expected rate of returns is a fuzzy number. The model shows more clearly that, in the financial market affected by several...