Statistic test on fuzzy portfolio selection model

Pei Chun Lin, Junzo Watada, Berlin Wu

    研究成果: Conference contribution

    1 引用 (Scopus)

    抜粋

    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.

    元の言語English
    ホスト出版物のタイトルIEEE International Conference on Fuzzy Systems
    ページ1103-1110
    ページ数8
    DOI
    出版物ステータスPublished - 2011
    イベント2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011 - Taipei
    継続期間: 2011 6 272011 6 30

    Other

    Other2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011
    Taipei
    期間11/6/2711/6/30

    ASJC Scopus subject areas

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

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  • これを引用

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