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.
|IEEE International Conference on Fuzzy Systems
|Published - 2011
|2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011 - Taipei
継続期間: 2011 6月 27 → 2011 6月 30
|2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011
|11/6/27 → 11/6/30
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