Document Type : Research Paper


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


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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