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In financial markets, the presence of inflation may affect investments' real returns. In this paper, we extend the fuzzy portfolio models to take into account the effects of inflation within the framework of credibility theory. The above models were deduced under the assumptions that returns of assets and the inflation rates follow some special fuzzy distributions. In a numerical study, we analyze the optimal portfolios and efficient frontiers with different inflation rates. We conclude that the absolute deviation increases as inflation rate increases, as a result, investment risks will be underestimated if the effects of inflation were not considered in the models.
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