CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION

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LI X.; QIN Z.; RALESCU D.

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Paper Information

Journal: Iranian Journal of Fuzzy Systems Year:2011 | Volume:8 | Issue:2 Page(s): 57-65

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Information Journal Paper

Title

CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION

Author(s)

LI X. | QIN Z. | RALESCU D. | Issue Writer Certificate

Keywords

ORMAL FUZZY VARIABLEQ2

CREDIBILITY THEORYQ2

CONFIDENCE INTERVALQ2

POINT ESTIMATIONQ2

PORTFOLIO SELECTIONQ2

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.

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APA: Copy

LI, X., QIN, Z., & RALESCU, D.. (2011). CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION. IRANIAN JOURNAL OF FUZZY SYSTEMS, 8(2), 57-65. SID. https://sid.ir/paper/113390/en

Vancouver: Copy

LI X., QIN Z., RALESCU D.. CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION. IRANIAN JOURNAL OF FUZZY SYSTEMS[Internet]. 2011;8(2):57-65. Available from: https://sid.ir/paper/113390/en

IEEE: Copy

X. LI, Z. QIN, and D. RALESCU, “CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION,” IRANIAN JOURNAL OF FUZZY SYSTEMS, vol. 8, no. 2, pp. 57–65, 2011, [Online]. Available: https://sid.ir/paper/113390/en

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