CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION
نویسندگان
1 School of Economics and Management, Beihang University, Beijing 100191, China
2 Department of Mathematical Sciences, University of Cincinnati, Cincin- nati, Ohio 45221, USA
3 The State Key Laboratory of Rail Traffic Control and Safety, Beijing Jiaotong University, Beijing 100044, China
doi
10.22111/ijfs.2011.276چکیده
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.
