IEICE TRANSACTIONS on Information
Risk Assessment of a Portfolio Selection Model Based on a Fuzzy Statistical Test
Summary :
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.
- Publication
- IEICE TRANSACTIONS on Information Vol.E96-D No.3 pp.579-588
- Publication Date
- 2013/03/01
- Publicized
- Online ISSN
- 1745-1361
- DOI
- 10.1587/transinf.E96.D.579
- Type of Manuscript
- PAPER
- Category
- Fundamentals of Information Systems
Authors
Keyword
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Pei-Chun LIN, Junzo WATADA, Berlin WU, "Risk Assessment of a Portfolio Selection Model Based on a Fuzzy Statistical Test" in IEICE TRANSACTIONS on Information,
vol. E96-D, no. 3, pp. 579-588, March 2013, doi: 10.1587/transinf.E96.D.579.
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.
URL: https://global.ieice.org/en_transactions/information/10.1587/transinf.E96.D.579/_p
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@ARTICLE{e96-d_3_579,
author={Pei-Chun LIN, Junzo WATADA, Berlin WU, },
journal={IEICE TRANSACTIONS on Information},
title={Risk Assessment of a Portfolio Selection Model Based on a Fuzzy Statistical Test},
year={2013},
volume={E96-D},
number={3},
pages={579-588},
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.},
keywords={},
doi={10.1587/transinf.E96.D.579},
ISSN={1745-1361},
month={March},}
Copy
TY - JOUR
TI - Risk Assessment of a Portfolio Selection Model Based on a Fuzzy Statistical Test
T2 - IEICE TRANSACTIONS on Information
SP - 579
EP - 588
AU - Pei-Chun LIN
AU - Junzo WATADA
AU - Berlin WU
PY - 2013
DO - 10.1587/transinf.E96.D.579
JO - IEICE TRANSACTIONS on Information
SN - 1745-1361
VL - E96-D
IS - 3
JA - IEICE TRANSACTIONS on Information
Y1 - March 2013
AB - 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.
ER -
English
