Geodesic
Comparative study of the behavior of the effective boundary of minimal risk portfolio in the conditions of hybrid uncertainty, depending on the restrictions on the profitability of the portfolio
Nečetkie sistemy i mâgkie vyčisleniâ, Tome 16 (2021) no. 1, pp. 58-69

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The paper studies the effective boundary of the minimum risk portfolio in the conditions of hybrid uncertainty. For the case of a two-dimensional portfolio, with a restriction on the expected return of the portfolio and a restriction on possibility/necessity and probability on the return of the portfolio, quasi-effective portfolio boundaries are constructed depending on the probability level. The results of numerical experiments are consistent with the theoretical results previously obtained by the authors.
Keywords: portfolio of minimal risk, probability-probabilistic optimization, constraints on possibility/necessity and probability, constraints on probability and possibility/necessity, equivalent deterministic analog, equivalent stochastic analog, fuzzy random variable, the strongest $t$ - norm. 
@article{FSSC_2021_16_1_a3,
     author = {A. V. Yazenin and I. S. Soldatenko},
     title = {Comparative study of the behavior of the effective boundary of minimal risk portfolio in the conditions of hybrid uncertainty, depending on the restrictions on the profitability of the portfolio},
     journal = {Ne\v{c}etkie sistemy i m\^agkie vy\v{c}isleni\^a},
     pages = {58--69},
     publisher = {mathdoc},
     volume = {16},
     number = {1},
     year = {2021},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/FSSC_2021_16_1_a3/}
}
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A. V. Yazenin; I. S. Soldatenko. Comparative study of the behavior of the effective boundary of minimal risk portfolio in the conditions of hybrid uncertainty, depending on the restrictions on the profitability of the portfolio. Nečetkie sistemy i mâgkie vyčisleniâ, Tome 16 (2021) no. 1, pp. 58-69. http://geodesic.mathdoc.fr/item/FSSC_2021_16_1_a3/