A Portfolio Selection Problem with Fuzzy Return Rate

The aim of this paper is to develop a portfolio selection model with fuzzy return rate. Fuzzy number is used to model the anticipative return rate of security, and an index is defined to measure the variability of the portfolio return. By taking the possibilistic mean as the portfolio return and the variability as the portfolio risk, a portfolio selection model is constructed. It is shown that there exists an optimal solution in the model, and the solution can be obtained by solving a convex quadratic programming problem.