MEDIAN-VARIANCE FUZZY WITH TRAPEZOIDAL FUZZY NUMBERS FOR PORTFOLIO SELECTION MODEL

被引：0

作者：

Ramli, Suhailywati ^{[1
]}

Jaaman, Saiful Hafizah ^{[1
]}

机构：

[1] Univ Kebangsaan Malaysia, Fac Sci & Technol, Dept Math Sci, Ukm Bangi 43600, Selangor, Malaysia

来源：

ADVANCES AND APPLICATIONS IN STATISTICS | 2020年 / 60卷 / 01期

关键词：

fuzzy; mean-variance; median-variance; optimal portfolio; trapezoidal fuzzy numbers; INTERVAL; RETURNS;

D O I：

10.17654/AS060010035

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The classical mean-variance Markowitz model uses mean to describe returns of an investment. In this study, the fuzzy median-variance model with return and risk represented by trapezoidal fuzzy numbers is proposed. In this proposed model, returns are represented by the median. The optimal portfolio produced by the fuzzy median-variance model is compared to portfolios produced by mean-variance model, median-variance model and fuzzy mean-variance model. Results of this study present that the fuzzy median-variance with trapezoidal fuzzy numbers model is superior than the other three models. This indicates that the model is a fitting model to be employed to generate optimal portfolio for risk-averse investors.

引用

页码：35 / 44

页数：10

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