Name
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. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1109/FUZZY.2011.6007343 | FUZZ-IEEE |
Keywords | Field | DocType |
portfolio selection,mean-variance model,statistical distributions,fuzzy statistics and data analysis,optimization,statistical testing,decision making,statistic test,fuzzy portfolio selection model,probability distribution function,risk management,risk investment,investment,fuzzy probability distributions,data reduction,empirical studies,data analysis,computational modeling,statistics,data model,random variables,expected return,probability distributions,random variable,data models,probability distribution,computer model,fuzzy systems,investments,distribution functions,statistical test,distribution function | Econometrics,Random variable,Statistic,Test statistic,Computer science,Modern portfolio theory,Post-modern portfolio theory,Portfolio,Portfolio optimization,Probability distribution | Conference |
ISSN | ISBN | Citations |
1098-7584 E-ISBN : 978-1-4244-7316-8 | 978-1-4244-7316-8 | 1 |
PageRank | References | Authors |
0.43 | 15 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Pei-chun Lin | 1 | 236 | 30.64 |
| Junzo Watada | 2 | 411 | 84.53 |
| Berlin Wu | 3 | 123 | 15.28 |