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
volume 8 issue 2
pages 57- 65
publication date 2011-06-17
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