On the possibilistic mean value and variance of multiplication of fuzzy numbers

In this paper, we introduce the definitions of the possibilistic mean, variance and covariance of multiplication of fuzzy numbers, and show some properties of these definitions. Then, we apply these definitions to build the possibilistic models of portfolio selection under the situations involving u...

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Bibliographic Details
Published in:Journal of computational and applied mathematics 2009-10, Vol.232 (2), p.327-334
Main Authors: Chen, Wei, Tan, Shaohua
Format: Article
Language:English
Subjects:
Exact sciences and technology
Mathematical analysis
Mathematics
Multiplication of fuzzy numbers
Numerical analysis
Numerical analysis. Scientific computation
Portfolio selection
Possibilistic mean value
Possibilistic variance
Sciences and techniques of general use
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Summary:In this paper, we introduce the definitions of the possibilistic mean, variance and covariance of multiplication of fuzzy numbers, and show some properties of these definitions. Then, we apply these definitions to build the possibilistic models of portfolio selection under the situations involving uncertainty over the time horizon, by considering the portfolio selection problem from the point of view of possibilistic analysis. Moreover, numerical experiments with real market data indicate that our approach results in better portfolio performance.
ISSN:0377-0427
1879-1778
DOI:10.1016/j.cam.2009.06.016