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