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| Title | Risk assessment of a portfolio selection model based on a fuzzy statistical test |
| Creator | 吳柏林 LIN, Pei-Chun ; WATADA, Junzo ; WU, Berlin |
| Contributor | 應數系 |
| Key Words | portfolio selection; optimization; fuzzy probability distributions; fuzzy statistics; data analysis; |
| Date | 2013-03 |
| Date Issued | 10-Dec-2013 17:14:41 (UTC+8) |
| Summary | The objective of our research is to build a statistical test that can evaluate different risks of a portfolio selection model with fuzzy data. The central points and radiuses of fuzzy numbers are used to determine the portfolio selection model, and we statistically evaluate the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk evaluation of the portfolio selection model with interval values. We conclude that the fuzzy statistical test enables us to evaluate a stable expected return and low risk investment with different choices for k, which indicates the risk level. The results of numerical examples show that our method is suitable for short-term investments. |
| Relation | IEICE Transactions on Information and Systems, E96-D(3),579-588 |
| Type | article |
| DOI | http://dx.doi.org/10.1587/transinf.E96.D.579 |
| dc.contributor | 應數系 | en_US |
| dc.creator (作者) | 吳柏林 | zh_TW |
| dc.creator (作者) | LIN, Pei-Chun ; WATADA, Junzo ; WU, Berlin | - |
| dc.date (日期) | 2013-03 | en_US |
| dc.date.accessioned | 10-Dec-2013 17:14:41 (UTC+8) | - |
| dc.date.available | 10-Dec-2013 17:14:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 10-Dec-2013 17:14:41 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/62350 | - |
| dc.description.abstract (摘要) | The objective of our research is to build a statistical test that can evaluate different risks of a portfolio selection model with fuzzy data. The central points and radiuses of fuzzy numbers are used to determine the portfolio selection model, and we statistically evaluate the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk evaluation of the portfolio selection model with interval values. We conclude that the fuzzy statistical test enables us to evaluate a stable expected return and low risk investment with different choices for k, which indicates the risk level. The results of numerical examples show that our method is suitable for short-term investments. | - |
| dc.format.extent | 118 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | IEICE Transactions on Information and Systems, E96-D(3),579-588 | en_US |
| dc.subject (關鍵詞) | portfolio selection; optimization; fuzzy probability distributions; fuzzy statistics; data analysis; | en_US |
| dc.title (題名) | Risk assessment of a portfolio selection model based on a fuzzy statistical test | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1587/transinf.E96.D.579 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1587/transinf.E96.D.579 | en_US |