Corazza M
Friday, 26 February 2021 10:08
A note on “Portfolio selection under possibilistic mean-variance utility and a SMO algorithm”
Written by Marco CorazzaAdditional Info
- File: Link
- Published in: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, vol. 288, pp. 343-345 (ISSN 0377-2217)
- Year: 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.
Published in
Investment & Financial Advisory Pubblications
Marco Corazza
Professor in Mathematics - Ca’ Foscari University of Venice, Department of Economics
GRETA Associate
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