CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION

Li, Xiang; Qin, Zhongfeng; Ralescu, Dan

doi:10.22111/ijfs.2011.276

CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION

Document Type : Research Paper

Authors

¹ The State Key Laboratory of Rail Traffic Control and Safety, Beijing Jiaotong University, Beijing 100044, China

² School of Economics and Management, Beihang University, Beijing 100191, China

³ Department of Mathematical Sciences, University of Cincinnati, Cincin- nati, Ohio 45221, USA

10.22111/ijfs.2011.276

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.

Keywords

References

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