Construction of a quasi-efficient frontier of a set of optimal portfolios under conditions of hybrid uncertainty with allowed short sales

S. A. Rogonov, I. S. Soldatenko, A. A. Shmeleva

Tver State University, Tver

Abstract: This paper describes 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 dependance of the quasi-efficient frontier on the value of $\alpha$-level is investigated.

Keywords: possibilistic-probabilistic optimization, minimal risk portfolio, hybrid uncertainty, Black's model, expected return, quasi-efficient frontier.

UDC: 519.8

Received: 03.06.2022
Revised: 12.07.2022

DOI: 10.26456/fssc88

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