Fuzzy set theory was introduced by Zadeh [32] in 1965, and has been well employed to solve a variety of practical problems since then. Fuzzy variable is a type of mathematical tool to describe fuzzy uncertainty. To better understand the new credibility-based fuzzy chance-constrained models for portfolio selection, let us briefly review some necessary knowledge about fuzzy variable.
Let ξ be a fuzzy variable with membership function μ, and u and r be real numbers. The possibility of a fuzzy event, characterized by ξ ⩾ r, is defined by