On the Problem of Portfolio Optimization with Constraints on Possibility/Necessity - Probability and Probability - Possibility/Necessity

In this paper we investigate models of minimum risk portfolio under hybrid uncertainty of possibilistic-probabilistic type. To remove two levels of uncertainty, constraints on possibility/necessity-probability and probability-possibility/necessity are used. Equivalent deterministic and equivalent stochastic models are constructed for the case when random components are normally distributed, and methods for solving the result problems are provided. The applicability of these methods are demonstrated on numerical examples.