Statistic test on fuzzy portfolio selection model
Statistic test on fuzzy portfolio selection model
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DOI：
10.1109/fuzzy.2011.6007343
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发表时间：
2011-06
期刊：
影响因子：
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通讯作者：
Pei-Chun Lin-;J. Watada;Berlin Wu
中科院分区：
文献类型：
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作者：
Pei-Chun Lin-;J. Watada;Berlin Wu
马科维茨的均值-方差模型基于已知或被假定为某种概率分布函数的概率分布函数。当我们的数据模糊时，我们无法知道底层的分布函数。我们研究的目的是开发一种决策方法，通过统计检验来解决投资组合选择模型。我们使用中心点和半径来确定模糊投资组合选择模型和统计检验。实证研究说明了带有区间值的模糊投资组合选择模型的风险。我们可以得出这样的结论：投资组合选择模型对风险的了解更加明确。根据统计检验，在不同的选择K下，我们都能得到稳定的预期收益和低风险的投资。
Markowitz's mean-variance model is based on probability distribution functions which have known or were assumed as some kinds of probability distribution functions. When our data are vague, we can't know the underlying distribution functions. The objective of our research was to develop a method of decision making to solve portfolio selection model by statistic test. We used central point and radius to determine the fuzzy portfolio selection model and statistic test. Empirical studies were presented to illustrate the risk of fuzzy portfolio selection model with interval values. We can conclude that it is more explicit to know the risk of portfolio selection model. According to statistic test, we can get a stable expected return and low risk investment in different choose K.