In this paper, we compare mean-variance portffolios based on the standard probabilistic representation of the stock returns to mean-variance portfolios built by using stock returns represented as possibilistic numbers. With reference to the latter, in this note we focus our attention on the definitions recently proposed in literature for modeling portfolio selection problems.
(2018). Comparing possibilistic portfolios to probabilistic ones . Retrieved from http://hdl.handle.net/10446/135075
Comparing possibilistic portfolios to probabilistic ones
Nardelli, Carla
2018-01-01
Abstract
In this paper, we compare mean-variance portffolios based on the standard probabilistic representation of the stock returns to mean-variance portfolios built by using stock returns represented as possibilistic numbers. With reference to the latter, in this note we focus our attention on the definitions recently proposed in literature for modeling portfolio selection problems.File allegato/i alla scheda:
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