Fuzzy probability distribution with VaR constraint for portfolio selection
- https://doi.org/10.2991/ifsa-eusflat-15.2015.210How to use a DOI?
- Number Fuzzy, VaR, Portfolio selection, Risk.
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
- © 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 -