Risk assessment of a portfolio selection model based on a fuzzy statistical test

Pei Chun Lin, Junzo Watada, Berlin Wu

    研究成果: Article査読

    7 被引用数 (Scopus)

    抄録

    The objective of our research is to build a statistical test that can evaluate different risks of a portfolio selection model with fuzzy data. The central points and radiuses of fuzzy numbers are used to determine the portfolio selection model, and we statistically evaluate the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk evaluation of the portfolio selection model with interval values. We conclude that the fuzzy statistical test enables us to evaluate a stable expected return and low risk investment with different choices for k, which indicates the risk level. The results of numerical examples show that our method is suitable for short-term investments.

    本文言語English
    ページ(範囲)579-588
    ページ数10
    ジャーナルIEICE Transactions on Information and Systems
    E96-D
    3
    DOI
    出版ステータスPublished - 2013 3月

    ASJC Scopus subject areas

    • 電子工学および電気工学
    • ソフトウェア
    • 人工知能
    • ハードウェアとアーキテクチャ
    • コンピュータ ビジョンおよびパターン認識

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