Paper Info
Title
Weighted possibilistic variance of fuzzy number and its application in portfolio theory
Abstract
Dubois and Prade defined an interval-valued expectation of fuzzy numbers, viewing them as consonant random sets. Fullér and Majlender then proposed an weighted possibility mean value, variance and covariance of fuzzy numbers, viewing them as weighted possibility distributions. In this paper, we define a new weighted possibilistic variance and covariance of fuzzy numbers based on Fullér and Majlenders' notations. Some properties of these notations are obtained in a similar manner as in probability theory. We also consider the weighted possibilistic mean-variance model of portfolio selection and introduce the notations of the weighted possibilistic efficient portfolio and efficient frontier. Moreover, a simple example is presented to show the application of our results in security market.
Year
DOI
Venue
2005
null
Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Keywords
Field
DocType
interval-valued expectation,fuzzy number,portfolio selection,consonant random set,new weighted possibilistic variance,efficient frontier,weighted possibilistic variance,weighted possibilistic mean-variance model,weighted possibility distribution,weighted possibility mean value,portfolio theory,weighted possibilistic efficient portfolio,probability theory
Discrete mathematics,Mathematical optimization,Project portfolio management,Modern portfolio theory,Possibility theory,Portfolio,Efficient frontier,Probability theory,Fuzzy number,Statistics,Mathematics,Covariance
Conference
Volume
Issue
ISSN
3613 LNAI
null
16113349
ISBN
Citations 
PageRank 
3-540-28312-9
4
0.47
References 
Authors
7
4
Name
Order
Citations
PageRank
Xun Wang140.47
Wei-Jun Xu215414.56
Wei-Guo Zhang355739.22
Maolin Hu4254.31