<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>The paper describes the methods for constructing a quasi-efficient frontier of minimum risk portfolio under conditions of hybrid uncertainty with allowed short sales. Investor’s acceptable level of expected return is defined in crisp and fuzzy forms. Obtained results are illustrated on a model example. The dependence of the quasi-efficient frontier on the value of <italic>α</italic> -level is investigated.</p>
</abstract>

The paper describes the methods for constructing a quasi-efficient frontier of minimum risk portfolio under conditions of hybrid uncertainty with allowed short sales. Investor’s acceptable level of expected return is defined in crisp and fuzzy forms. Obtained results are illustrated on a model example. The dependence of the quasi-efficient frontier on the value of α -level is investigated.

On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed

Control and Cybernetics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

The paper describes the methods for constructing a quasi-efficient frontier of minimum risk portfolio under conditions of hybrid uncertainty with allowed short...

On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed

Published Online: Feb 24, 2024

Page range: 445 - 466

Received: Oct 01, 2022

Accepted: Dec 01, 2022

DOI: https://doi.org/10.2478/candc-2022-0024

Keywords
portfolio selection model, hybrid uncertainty, possibility, necessity, quasi-efficient solutions, minimum risk portfolio frontier, fuzzy random variable

© 2022 Stepan A. Rogonov et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

On the quasi-efficient frontier of the set of optimal portfolios under hybrid uncertainty with short sales allowed

Published Online: Feb 24, 2024

Page range: 445 - 466

Received: Oct 01, 2022

Accepted: Dec 01, 2022

DOI: https://doi.org/10.2478/candc-2022-0024

Keywordsportfolio selection model, hybrid uncertainty, possibility, necessity, quasi-efficient solutions, minimum risk portfolio frontier, fuzzy random variable

© 2022 Stepan A. Rogonov et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Keywords
portfolio selection model, hybrid uncertainty, possibility, necessity, quasi-efficient solutions, minimum risk portfolio frontier, fuzzy random variable