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

Pei Chun Lin, Junzo Watada, Berlin Wu

    研究成果: Conference contribution

    抄録

    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.

    本文言語English
    ホスト出版物のタイトル6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012
    ページ1931-1937
    ページ数7
    DOI
    出版ステータスPublished - 2012
    イベント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
    継続期間: 2012 11 202012 11 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
    国/地域Japan
    CityKobe
    Period12/11/2012/11/24

    ASJC Scopus subject areas

    • 人工知能
    • ソフトウェア

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