政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/61564

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51716913 Online Users : 590

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 理學院 > 應用數學系 > 期刊論文 > Item 140.119/61564

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61564

Title:	Portfolio Selection Model with Interval Values Based on Probability Distribution Functions
Authors:	吳柏林 Wu,Berlin
Contributors:	應數系
Keywords:	Portfolio selection;Optimization;Fuzzy probability distributions;Fuzzy statistics and data analysis
Date:	2012.08
Issue Date:	2013-11-11 11:42:07 (UTC+8)
Abstract:	In order to analyze uncertain phenomena in real world, the concept of fuzzy random variables is widely employed in model building. In dealing with fuzzy data, defuzzi cation plays a central role. In this paper, portfolio selection problems are dealt as interval values. We calculate the expected values, variance and covariance by using the estimated parameters of underlying probability distribution function. The estimated values enable us to build up a portfolio selection model with estimated parameters on the basic of Markowitz`s mean-variance model. The result exempli ed that we have different choices of k which can decide the best expected return and less risk level in our model, also that we can provide not only one choice of portfolio selection but also two or more for decision makers.
Relation:	International Journal of Innovative Computing, Information and Control, 8(8) , 5935-5944
Data Type:	article
Appears in Collections:	[應用數學系] 期刊論文

Files in This Item:

File	Description	Size	Format
59355944.pdf		97Kb	Adobe PDF2	1429	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...