On the possibilistic mean value and variance of multiplication of fuzzy numbers

被引:15
|
作者
Chen, Wei [1 ]
Tan, Shaohua [1 ]
机构
[1] Peking Univ, Sch Elect Engn & Comp Sci, Beijing 100871, Peoples R China
关键词
Multiplication of fuzzy numbers; Possibilistic mean value; Possibilistic variance; Portfolio selection; PORTFOLIO SELECTION;
D O I
10.1016/j.cam.2009.06.016
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
In this paper, we introduce the definitions of the possibilistic mean, variance and covariance of multiplication of fuzzy numbers, and show some properties of these definitions. Then, we apply these definitions to build the possibilistic models of portfolio selection under the situations involving uncertainty over the time horizon, by considering the portfolio selection problem from the point of view of possibilistic analysis. Moreover, numerical experiments with real market data indicate that our approach results in better portfolio performance. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码:327 / 334
页数:8
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