CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION

被引：0
|
作者：
Li, Xiang [2 ]
Qin, Zhongfeng [3 ]
Ralescu, Dan [1 ]
机构：
[1] Univ Cincinnati, Dept Math Sci, Cincinnati, OH 45221 USA
[2] Beijing Jiaotong Univ, State Key Lab Rail Traff Control & Safety, Beijing 100044, Peoples R China
[3] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
来源：
IRANIAN JOURNAL OF FUZZY SYSTEMS | 2011年 / 8卷 / 02期
关键词：
Normal fuzzy variable; Credibility theory; Confidence interval; Point estimation; Portfolio selection; ENTROPY;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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, 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.
引用
收藏
页码：57 / 65
页数：9
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