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CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION | ||
| Iranian Journal of Fuzzy Systems | ||
| مقاله 4، دوره 8، شماره 2، شهریور 2011، صفحه 57-65 اصل مقاله (337.5 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22111/ijfs.2011.276 | ||
| نویسندگان | ||
| Xiang Li1؛ Zhongfeng Qin2؛ Dan Ralescu* 3 | ||
| 1The State Key Laboratory of Rail Traffic Control and Safety, Beijing Jiaotong University, Beijing 100044, China | ||
| 2School of Economics and Management, Beihang University, Beijing 100191, China | ||
| 3Department of Mathematical Sciences, University of Cincinnati, Cincin- nati, Ohio 45221, USA | ||
| چکیده | ||
| 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. | ||
| کلیدواژه‌ها | ||
| Normal fuzzy variable؛ Credibility theory؛ Con dence interval؛ Point estimation؛ Portfolio selection | ||
| مراجع | ||
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