Fuzzy theory is proposed as an alternative to the probabilistic approach for assessing portfolios of power plants, in order to capture the complex reality of decision-making processes. This paper presents different fuzzy portfolio selection models, where the rate of returns as well as the investor’s aspiration levels of portfolio return and risk are regarded as fuzzy variables. Furthermore, portfolio risk is defined as a downside risk, which is why a semi-mean-absolute deviation portfolio selection model is introduced. Finally, as an illustration, the models presented are applied to a selection of power generation mixes. The efficient portfolio results show that the fuzzy portfolio selection models with different definitions of membership functions as well as the semi-mean-absolute deviation model perform better than the standard mean-variance approach. Moreover, introducing membership functions for the description of investors’ aspiration levels for the expected return and risk shows how the knowledge of experts, and investors’ subjective opinions, can be better integrated in the decision-making process than with probabilistic approaches.
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