Title of article
CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION
Author/Authors
Xiang Li، Xiang Li نويسنده Xiang Li, Xiang Li , Zhongfeng Qin، Zhongfeng Qin نويسنده Zhongfeng Qin, Zhongfeng Qin , Dan Ralescu، Dan Ralescu نويسنده Dan Ralescu, Dan Ralescu
Issue Information
فصلنامه با شماره پیاپی 0 سال 2011
Pages
9
From page
57
To page
65
Abstract
Abstract. In this paper, a maximum likelihood estimation and a minimum
entropy estimation for the expected value and variance of normal fuzzy variable
are discussed within the framework of credibility theory. As an application,
a credibilistic portfolio selection model is proposed, which is an improvement
over the traditional models as it only needs the predicted values on the security
returns instead of their membership functions.
Journal title
Iranian Journal of Fuzzy Systems (IJFS)
Serial Year
2011
Journal title
Iranian Journal of Fuzzy Systems (IJFS)
Record number
660569
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