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^*

^*Corresponding author for this work

School of Economics and Management

Beijing Jiaotong University
University of Cincinnati

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

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.

Original language	English
Pages (from-to)	57-65
Number of pages	9
Journal	Iranian Journal of Fuzzy Systems
Volume	8
Issue number	2
State	Published - 2011

Keywords

Confidence interval
Credibility theory
Normal fuzzy variable
Point estimation
Portfolio selection

Cite this

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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 = "英语",

volume = "8",

pages = "57--65",

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publisher = "University of Sistan and Baluchestan",

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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

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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 - 文章

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

Abstract

Keywords

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