Decision making of a portfolio selection model based on fuzzy statistic test

Pei Chun Lin; Junzo Watada; Berlin Wu

doi:10.1109/SCIS-ISIS.2012.6505076

Decision making of a portfolio selection model based on fuzzy statistic test

Pei Chun Lin, Junzo Watada, Berlin Wu

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

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.

Original language	English
Title of host publication	6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012
Pages	1931-1937
Number of pages	7
DOIs	https://doi.org/10.1109/SCIS-ISIS.2012.6505076
Publication status	Published - 2012
Event	2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012 - Kobe, Japan Duration: 2012 Nov 20 → 2012 Nov 24

Other

Other	2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012
Country/Territory	Japan
City	Kobe
Period	12/11/20 → 12/11/24

Keywords

Fuzzy probability distributions
Fuzzy statistics and data analysis
Optimization
Portfolio selection

ASJC Scopus subject areas

Artificial Intelligence
Software

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10.1109/SCIS-ISIS.2012.6505076

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Decision making of a portfolio selection model based on fuzzy statistic test. / Lin, Pei Chun; Watada, Junzo; Wu, Berlin.

6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012. 2012. p. 1931-1937 6505076.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Lin, PC, Watada, J & Wu, B 2012, Decision making of a portfolio selection model based on fuzzy statistic test. in 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012., 6505076, pp. 1931-1937, 2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012, Kobe, Japan, 12/11/20. https://doi.org/10.1109/SCIS-ISIS.2012.6505076

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Decision making of a portfolio selection model based on fuzzy statistic test

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Keywords

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