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    政大機構典藏 > 商學院 > 統計學系 > 期刊論文 >  Item 140.119/62350
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/62350


    Title: Risk assessment of a portfolio selection model based on a fuzzy statistical test
    Authors: 吳柏林
    LIN, Pei-Chun;WATADA, Junzo;WU, Berlin
    Contributors: 應數系
    Keywords: portfolio selection;optimization;fuzzy probability distributions;fuzzy statistics;data analysis
    Date: 2013-03
    Issue Date: 2013-12-10 17:14:41 (UTC+8)
    Abstract: The objective of our research is to build a statistical test that can evaluate different risks of a portfolio selection model with fuzzy data. The central points and radiuses of fuzzy numbers are used to determine the portfolio selection model, and we statistically evaluate the best return by a fuzzy statistical test. Empirical studies are presented to illustrate the risk evaluation of the portfolio selection model with interval values. We conclude that the fuzzy statistical test enables us to evaluate a stable expected return and low risk investment with different choices for k, which indicates the risk level. The results of numerical examples show that our method is suitable for short-term investments.
    Relation: IEICE Transactions on Information and Systems, E96-D(3),579-588
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1587/transinf.E96.D.579
    DOI: 10.1587/transinf.E96.D.579
    Appears in Collections:[統計學系] 期刊論文

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