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題名:	Statistic test on fuzzy portfolio selection model
作者:	Lin, P.-C.;Watada, J.;Wu, Ber-lin 吳柏林
貢獻者:	應用數學系
關鍵詞:	Central point;Empirical studies;Expected return;Fuzzy statistics and data analysis;Interval value;Markowitz;Mean variance model;Portfolio selection;Portfolio selection models;Risk investment;Underlying distribution;Data reduction;Distribution functions;Fuzzy systems;Models;Optimization;Statistics;Probability distributions
日期:	2011-06
上傳時間:	2015-10-08 17:51:27 (UTC+8)
摘要:	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. © 2011 IEEE.
關聯:	IEEE International Conference on Fuzzy Systems,論文編號 6007343,1103-1110
資料類型:	conference
DOI 連結:	http://dx.doi.org/10.1109/FUZZY.2011.6007343
DOI:	10.1109/FUZZY.2011.6007343
顯示於類別:	[應用數學系] 會議論文

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