Statistic test on fuzzy portfolio selection model

Pei Chun Lin; Junzo Watada; Berlin Wu

doi:10.1109/FUZZY.2011.6007343

Statistic test on fuzzy portfolio selection model

Pei Chun Lin^*, Junzo Watada, Berlin Wu

^*Corresponding author for this work

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

1 Citation (Scopus)

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.

Original language	English
Title of host publication	IEEE International Conference on Fuzzy Systems
Pages	1103-1110
Number of pages	8
DOIs	https://doi.org/10.1109/FUZZY.2011.6007343
Publication status	Published - 2011
Event	2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011 - Taipei Duration: 2011 Jun 27 → 2011 Jun 30

Other

Other	2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011
City	Taipei
Period	11/6/27 → 11/6/30

Keywords

fuzzy probability distributions
fuzzy statistics and data analysis
Optimization
Portfolio selection

ASJC Scopus subject areas

Software
Artificial Intelligence
Applied Mathematics
Theoretical Computer Science

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10.1109/FUZZY.2011.6007343

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title = "Statistic test on fuzzy portfolio selection model",

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.",

keywords = "fuzzy probability distributions, fuzzy statistics and data analysis, Optimization, Portfolio selection",

author = "Lin, {Pei Chun} and Junzo Watada and Berlin Wu",

year = "2011",

doi = "10.1109/FUZZY.2011.6007343",

language = "English",

isbn = "9781424473175",

pages = "1103--1110",

booktitle = "IEEE International Conference on Fuzzy Systems",

note = "2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011 ; Conference date: 27-06-2011 Through 30-06-2011",

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T1 - Statistic test on fuzzy portfolio selection model

AU - Lin, Pei Chun

AU - Watada, Junzo

AU - Wu, Berlin

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

KW - fuzzy probability distributions

KW - fuzzy statistics and data analysis

KW - Optimization

KW - Portfolio selection

UR - http://www.scopus.com/inward/record.url?scp=80053062628&partnerID=8YFLogxK

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U2 - 10.1109/FUZZY.2011.6007343

DO - 10.1109/FUZZY.2011.6007343

M3 - Conference contribution

AN - SCOPUS:80053062628

SN - 9781424473175

SP - 1103

EP - 1110

BT - IEEE International Conference on Fuzzy Systems

T2 - 2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011

Y2 - 27 June 2011 through 30 June 2011

ER -

Statistic test on fuzzy portfolio selection model

Abstract

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Keywords

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