Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection

Xiang Li, Sini Guo, Lean Yu

科研成果: 期刊稿件文章同行评审

52 引用 (Scopus)

摘要

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.

源语言英语
文章编号7042826
页(从-至)2135-2143
页数9
期刊IEEE Transactions on Fuzzy Systems
23
6
DOI
出版状态已出版 - 1 12月 2015
已对外发布

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