Title: The effect of prudence on the optimal allocation in possibilistic and mixed models,
Abstract: In this paper two portfolio choice models are studied: a purely possibilistic
model, in which the return of a risky asset is a fuzzy number, and a mixed
model in which a probabilistic background risk is added. For the two models an
approximate formula of the optimal allocation is computed, with respect to the
possibilistic moments associated with fuzzy numbers and the indicators of the
investor risk preferences (risk aversion, prudence).