Credibilistic parameter estimation and its application in fuzzy portfolio selection

X. Li; Z. Qin; D. Ralescu

Credibilistic parameter estimation and its application in fuzzy portfolio selection

X. Li
, Z. Qin
, D. Ralescu^*

^*此作品的通讯作者

Beijing Jiaotong University
Beihang University
University of Cincinnati

科研成果: 期刊稿件 › 文章 › 同行评审

3 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	57-65
页数	9
期刊	Iranian Journal of Fuzzy Systems
卷	8
期	2
出版状态	已出版 - 2011
已对外发布	是

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title = "Credibilistic parameter estimation and its application in fuzzy portfolio selection",

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 = "Confidence interval, Credibility theory, Normal fuzzy variable, Point estimation, Portfolio selection",

author = "X. Li and Z. Qin and D. Ralescu",

year = "2011",

language = "English",

volume = "8",

pages = "57--65",

journal = "Iranian Journal of Fuzzy Systems",

issn = "1735-0654",

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T1 - Credibilistic parameter estimation and its application in fuzzy portfolio selection

AU - Li, X.

AU - Qin, Z.

AU - Ralescu, D.

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

KW - Confidence interval

KW - Credibility theory

KW - Normal fuzzy variable

KW - Point estimation

KW - Portfolio selection

UR - https://www.scopus.com/pages/publications/80053002319

M3 - Article

AN - SCOPUS:80053002319

SN - 1735-0654

VL - 8

SP - 57

EP - 65

JO - Iranian Journal of Fuzzy Systems

JF - Iranian Journal of Fuzzy Systems

IS - 2

ER -

Credibilistic parameter estimation and its application in fuzzy portfolio selection

摘要

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