credibilistic parameter estimation and its application in fuzzy portfolio selection
نویسندگان
چکیده
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.
منابع مشابه
CREDIBILISTIC PARAMETER ESTIMATION AND ITS APPLICATION IN FUZZY PORTFOLIO SELECTION
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...
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عنوان ژورنال:
iranian journal of fuzzy systemsناشر: university of sistan and baluchestan
ISSN 1735-0654
دوره 8
شماره 2 2011
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