Table of Contents Author Guidelines Submit a Manuscript
Mathematical Problems in Engineering
Volume 2011, Article ID 263240, 15 pages
http://dx.doi.org/10.1155/2011/263240
Research Article

Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates

School of Information, Capital University of Economics and Business, Beijing 100070, China

Received 18 February 2011; Revised 27 April 2011; Accepted 29 May 2011

Academic Editor: Jyh Horng Chou

Copyright © 2011 Wei Chen et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

As we know, borrowing and lending risk-free assets arise extensively in the theory and practice of finance. However, little study has ever investigated them in fuzzy portfolio problem. In this paper, the returns of each assets are assumed to be fuzzy variables, then following the mean-variance approach, a new possibilistic portfolio selection model with different interest rates for borrowing and lending is proposed, in which the possibilistic semiabsolute deviation of the return is used to measure investment risk. The conventional probabilistic mean variance model can be transformed to a linear programming problem under possibility distributions. Finally, a numerical example is given to illustrate the modeling idea and the impact of borrowing and lending on optimal decision making.