Risk Assessment of a Portfolio Selection Model Based on a Fuzzy Statistical Test

Pei-Chun LIN  Junzo WATADA  Berlin WU  

IEICE TRANSACTIONS on Information and Systems   Vol.E96-D   No.3   pp.579-588
Publication Date: 2013/03/01
Online ISSN: 1745-1361
DOI: 10.1587/transinf.E96.D.579
Print ISSN: 0916-8532
Type of Manuscript: PAPER
Category: Fundamentals of Information Systems
portfolio selection,  optimization,  fuzzy probability distributions,  fuzzy statistics,  data analysis,  

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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.