Abstract | ||
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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. |
Year | DOI | Venue |
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2012 | 10.1109/SCIS-ISIS.2012.6505076 | SCIS&ISIS |
Keywords | Field | DocType |
decision making,fuzzy set theory,investment,risk management,statistical testing,expected return,fuzzy statistic test,portfolio selection model,portfolio selection risk,risk investment,risk level,fuzzy probability distributions,fuzzy statistics and data analysis,optimization,portfolio selection,probability distributions,empirical studies,intelligent systems,soft computing,statistical tests | Econometrics,Mathematical optimization,Statistic,Intelligent decision support system,Computer science,Fuzzy logic,Portfolio,Portfolio optimization,Expected return,Empirical research,Statistical hypothesis testing | Conference |
ISSN | ISBN | Citations |
2377-6870 | 978-1-4673-2742-8 | 0 |
PageRank | References | Authors |
0.34 | 19 | 3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Pei-chun Lin | 1 | 236 | 30.64 |
Junzo Watada | 2 | 411 | 84.53 |
Berlin Wu | 3 | 123 | 15.28 |