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 |
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文章编号 | 7042826 |
页(从-至) | 2135-2143 |
页数 | 9 |
期刊 | IEEE Transactions on Fuzzy Systems |
卷 | 23 |
期 | 6 |
DOI | |
出版状态 | 已出版 - 1 12月 2015 |
已对外发布 | 是 |