Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection

Xiang Li; Sini Guo; Lean Yu

doi:10.1109/TFUZZ.2015.2404340

Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection

Xiang Li, Sini Guo, Lean Yu

Beijing University of Chemical Technology

Research output: Contribution to journal › Article › peer-review

53 Citations (Scopus)

Abstract

A fuzzy number is a normal and convex fuzzy subset of the real line. In this paper, based on membership function, we redefine the concepts of mean and variance for fuzzy numbers. Furthermore, we propose the concept of skewness and prove some desirable properties. A fuzzy mean-variance-skewness portfolio selection model is formulated and two variations are given, which are transformed to nonlinear optimization models with polynomial objective and constraint functions such that they can be solved analytically. Finally, we present some numerical examples to demonstrate the effectiveness of the proposed models.

Original language	English
Article number	7042826
Pages (from-to)	2135-2143
Number of pages	9
Journal	IEEE Transactions on Fuzzy Systems
Volume	23
Issue number	6
DOIs	https://doi.org/10.1109/TFUZZ.2015.2404340
Publication status	Published - 1 Dec 2015
Externally published	Yes

Keywords

Fuzzy number
mean-variance-skewness model
skewness

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10.1109/TFUZZ.2015.2404340

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Li, X., Guo, S., & Yu, L. (2015). Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection. IEEE Transactions on Fuzzy Systems, 23(6), 2135-2143. Article 7042826. https://doi.org/10.1109/TFUZZ.2015.2404340

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Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection

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Keywords

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