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

โœ Scribed by Wei Chen; Shaohua Tan

Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
515 KB
Volume
232
Category
Article
ISSN
0377-0427

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โœฆ Synopsis

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.

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