Proceedings of the 2015 Conference of the International Fuzzy Systems Association and the European Society for Fuzzy Logic and Technology

Fuzzy probability distribution with VaR constraint for portfolio selection

Authors
Marcus Rocha, Lucelia Lima, Helida Santos, Benjamin Bedregal
Corresponding Author
Marcus Rocha
Available Online June 2015.
DOI
https://doi.org/10.2991/ifsa-eusflat-15.2015.210How to use a DOI?
Keywords
Number Fuzzy, VaR, Portfolio selection, Risk.
Abstract

This work aims at comparing two models of fuzzy distribution: Normal and Laplace, whenever they are inside the context of possibilistic mean-variance model described by Li et al. in [ ], where fuzzy Normal distribution is used. We propose to make a comparison using their model, but instead we apply fuzzy Laplace distribution. We also demonstrate the theorems which are necessary for the inclusion of these distributions to the model proposed by Li et al. So, we evaluate the behavior of this model when these distribution functions are changed and we also vary the VaR (Value at Risk). For financial analysts it is very important having other distributions as parameters, regarding the volatility of the stock market due to the behavior of financial market

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 Conference of the International Fuzzy Systems Association and the European Society for Fuzzy Logic and Technology
Series
Advances in Intelligent Systems Research
Publication Date
June 2015
ISBN
978-94-62520-77-6
ISSN
1951-6851
DOI
https://doi.org/10.2991/ifsa-eusflat-15.2015.210How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Marcus Rocha
AU  - Lucelia Lima
AU  - Helida Santos
AU  - Benjamin Bedregal
PY  - 2015/06
DA  - 2015/06
TI  - Fuzzy probability distribution with VaR constraint for portfolio selection
BT  - Proceedings of the 2015 Conference of the International Fuzzy Systems Association and the European Society for Fuzzy Logic and Technology
PB  - Atlantis Press
SP  - 1479
EP  - 1485
SN  - 1951-6851
UR  - https://doi.org/10.2991/ifsa-eusflat-15.2015.210
DO  - https://doi.org/10.2991/ifsa-eusflat-15.2015.210
ID  - Rocha2015/06
ER  -