credibilistic parameter estimation and its application in fuzzy portfolio selection
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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.
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Journal title:
iranian journal of fuzzy systemsPublisher: university of sistan and baluchestan
ISSN 1735-0654
volume 8
issue 2 2011
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