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

Rogonov Stepan A., Soldatenko Ilia S., Yazenin Alexander V.

Control and Cybernetics

2022

Vol. 51, No. 4

445--466

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.