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Title: Decision making of a portfolio selection model based on fuzzy statistic test
Authors: Lin, P.-C.;Watada, J.;Wu, Berlin
Contributors: 應數系
Keywords: Empirical studies;Expected return;Fuzzy statistic;Fuzzy statistics and data analysis;Interval value;Portfolio selection;Portfolio selection models;Risk investment;Intelligent systems;Optimization;Probability distributions;Soft computing;Statistical tests;Models
Date: 2012
Issue Date: 2015-04-10 16:47:12 (UTC+8)
Abstract: The objective of our research is to build a statistical test that can evaluate the sensitivity of a portfolio selection model with fuzzy data. The central point and radius are used to determine the portfolio selection model and we make a decision for the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk of the portfolio selection model with interval values. We conclude that the evaluation by the fuzzy statistical test enables us to obtain a stable expected return and low risk investment with different choices based on the risk level k, which is taken for the risk level. © 2012 IEEE.
Relation: 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012
Data Type: conference
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