政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/61564

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政大機構典藏 > 理學院 > 應用數學系 > 期刊論文 > Item 140.119/61564

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题名:	Portfolio Selection Model with Interval Values Based on Probability Distribution Functions
作者:	吳柏林 Wu,Berlin
贡献者:	應數系
关键词:	Portfolio selection;Optimization;Fuzzy probability distributions;Fuzzy statistics and data analysis
日期:	2012.08
上传时间:	2013-11-11 11:42:07 (UTC+8)
摘要:	In order to analyze uncertain phenomena in real world, the concept of fuzzy random variables is widely employed in model building. In dealing with fuzzy data, defuzzi cation plays a central role. In this paper, portfolio selection problems are dealt as interval values. We calculate the expected values, variance and covariance by using the estimated parameters of underlying probability distribution function. The estimated values enable us to build up a portfolio selection model with estimated parameters on the basic of Markowitz`s mean-variance model. The result exempli ed that we have different choices of k which can decide the best expected return and less risk level in our model, also that we can provide not only one choice of portfolio selection but also two or more for decision makers.
關聯:	International Journal of Innovative Computing, Information and Control, 8(8) , 5935-5944
数据类型:	article
显示于类别:	[應用數學系] 期刊論文

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档案	描述	大小	格式	浏览次数
59355944.pdf		97Kb	Adobe PDF2	1368	检视/开启

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