Decision making of a portfolio selection model based on fuzzy statistic test

Pei Chun Lin, Junzo Watada, Berlin Wu

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    Abstract

    The objective of our research is to build a statistical test that can evaluate the sensitivity of a portfolio selection model with fuzzy data. The central point and radius are used to determine the portfolio selection model and we make a decision for the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk of the portfolio selection model with interval values. We conclude that the evaluation by the fuzzy statistical test enables us to obtain a stable expected return and low risk investment with different choices based on the risk level k, which is taken for the risk level.

    Original languageEnglish
    Title of host publication6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012
    Pages1931-1937
    Number of pages7
    DOIs
    Publication statusPublished - 2012
    Event2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012 - Kobe, Japan
    Duration: 2012 Nov 202012 Nov 24

    Other

    Other2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012
    CountryJapan
    CityKobe
    Period12/11/2012/11/24

    Fingerprint

    Statistical tests
    Decision making
    Statistics

    Keywords

    • Fuzzy probability distributions
    • Fuzzy statistics and data analysis
    • Optimization
    • Portfolio selection

    ASJC Scopus subject areas

    • Artificial Intelligence
    • Software

    Cite this

    Lin, P. C., Watada, J., & Wu, B. (2012). Decision making of a portfolio selection model based on fuzzy statistic test. In 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012 (pp. 1931-1937). [6505076] https://doi.org/10.1109/SCIS-ISIS.2012.6505076

    Decision making of a portfolio selection model based on fuzzy statistic test. / Lin, Pei Chun; Watada, Junzo; Wu, Berlin.

    6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012. 2012. p. 1931-1937 6505076.

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    Lin, PC, Watada, J & Wu, B 2012, Decision making of a portfolio selection model based on fuzzy statistic test. in 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012., 6505076, pp. 1931-1937, 2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012, Kobe, Japan, 12/11/20. https://doi.org/10.1109/SCIS-ISIS.2012.6505076
    Lin PC, Watada J, Wu B. Decision making of a portfolio selection model based on fuzzy statistic test. In 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012. 2012. p. 1931-1937. 6505076 https://doi.org/10.1109/SCIS-ISIS.2012.6505076
    Lin, Pei Chun ; Watada, Junzo ; Wu, Berlin. / Decision making of a portfolio selection model based on fuzzy statistic test. 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012. 2012. pp. 1931-1937
    @inproceedings{1dcf2f01e5744954bacc67c40a566e32,
    title = "Decision making of a portfolio selection model based on fuzzy statistic test",
    abstract = "The objective of our research is to build a statistical test that can evaluate the sensitivity of a portfolio selection model with fuzzy data. The central point and radius are used to determine the portfolio selection model and we make a decision for the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk of the portfolio selection model with interval values. We conclude that the evaluation by the fuzzy statistical test enables us to obtain a stable expected return and low risk investment with different choices based on the risk level k, which is taken for the risk level.",
    keywords = "Fuzzy probability distributions, Fuzzy statistics and data analysis, Optimization, Portfolio selection",
    author = "Lin, {Pei Chun} and Junzo Watada and Berlin Wu",
    year = "2012",
    doi = "10.1109/SCIS-ISIS.2012.6505076",
    language = "English",
    isbn = "9781467327428",
    pages = "1931--1937",
    booktitle = "6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012",

    }

    TY - GEN

    T1 - Decision making of a portfolio selection model based on fuzzy statistic test

    AU - Lin, Pei Chun

    AU - Watada, Junzo

    AU - Wu, Berlin

    PY - 2012

    Y1 - 2012

    N2 - The objective of our research is to build a statistical test that can evaluate the sensitivity of a portfolio selection model with fuzzy data. The central point and radius are used to determine the portfolio selection model and we make a decision for the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk of the portfolio selection model with interval values. We conclude that the evaluation by the fuzzy statistical test enables us to obtain a stable expected return and low risk investment with different choices based on the risk level k, which is taken for the risk level.

    AB - The objective of our research is to build a statistical test that can evaluate the sensitivity of a portfolio selection model with fuzzy data. The central point and radius are used to determine the portfolio selection model and we make a decision for the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk of the portfolio selection model with interval values. We conclude that the evaluation by the fuzzy statistical test enables us to obtain a stable expected return and low risk investment with different choices based on the risk level k, which is taken for the risk level.

    KW - Fuzzy probability distributions

    KW - Fuzzy statistics and data analysis

    KW - Optimization

    KW - Portfolio selection

    UR - http://www.scopus.com/inward/record.url?scp=84877815713&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=84877815713&partnerID=8YFLogxK

    U2 - 10.1109/SCIS-ISIS.2012.6505076

    DO - 10.1109/SCIS-ISIS.2012.6505076

    M3 - Conference contribution

    SN - 9781467327428

    SP - 1931

    EP - 1937

    BT - 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012

    ER -