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 proceedingConference contribution

    1 Citation (Scopus)


    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 languageEnglish
    Title of host publicationIEEE International Conference on Fuzzy Systems
    Number of pages8
    Publication statusPublished - 2011
    Event2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011 - Taipei
    Duration: 2011 Jun 272011 Jun 30


    Other2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011


    • 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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