Statistic test on fuzzy portfolio selection model

Pei Chun Lin, Junzo Watada, Berlin Wu

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

    1 Citation (Scopus)

    Abstract

    Markowitz's mean-variance model is based on probability distribution functions which have known or were assumed as some kinds of probability distribution functions. When our data are vague, we can't know the underlying distribution functions. The objective of our research was to develop a method of decision making to solve portfolio selection model by statistic test. We used central point and radius to determine the fuzzy portfolio selection model and statistic test. Empirical studies were presented to illustrate the risk of fuzzy portfolio selection model with interval values. We can conclude that it is more explicit to know the risk of portfolio selection model. According to statistic test, we can get a stable expected return and low risk investment in different choose K.

    Original languageEnglish
    Title of host publicationIEEE International Conference on Fuzzy Systems
    Pages1103-1110
    Number of pages8
    DOIs
    Publication statusPublished - 2011
    Event2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011 - Taipei
    Duration: 2011 Jun 272011 Jun 30

    Other

    Other2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011
    CityTaipei
    Period11/6/2711/6/30

    Fingerprint

    Selection Model
    Portfolio Selection
    Test Statistic
    Statistics
    Probability Distribution Function
    Distribution functions
    Probability distributions
    Empirical Study
    Distribution Function
    Choose
    Decision Making
    Radius
    Decision making
    Interval
    Model

    Keywords

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

    ASJC Scopus subject areas

    • Software
    • Artificial Intelligence
    • Applied Mathematics
    • Theoretical Computer Science

    Cite this

    Lin, P. C., Watada, J., & Wu, B. (2011). Statistic test on fuzzy portfolio selection model. In IEEE International Conference on Fuzzy Systems (pp. 1103-1110). [6007343] https://doi.org/10.1109/FUZZY.2011.6007343

    Statistic test on fuzzy portfolio selection model. / Lin, Pei Chun; Watada, Junzo; Wu, Berlin.

    IEEE International Conference on Fuzzy Systems. 2011. p. 1103-1110 6007343.

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

    Lin, PC, Watada, J & Wu, B 2011, Statistic test on fuzzy portfolio selection model. in IEEE International Conference on Fuzzy Systems., 6007343, pp. 1103-1110, 2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011, Taipei, 11/6/27. https://doi.org/10.1109/FUZZY.2011.6007343
    Lin PC, Watada J, Wu B. Statistic test on fuzzy portfolio selection model. In IEEE International Conference on Fuzzy Systems. 2011. p. 1103-1110. 6007343 https://doi.org/10.1109/FUZZY.2011.6007343
    Lin, Pei Chun ; Watada, Junzo ; Wu, Berlin. / Statistic test on fuzzy portfolio selection model. IEEE International Conference on Fuzzy Systems. 2011. pp. 1103-1110
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