scholarly journals Fuzzy probability distribution with VaR constraint for portfolio selection

2015 ◽  
Author(s):  
Marcus Rocha ◽  
Lucelia Lima ◽  
Helida Santos ◽  
Benjamin Bedregal
Keyword(s):  
Probability Distribution ◽  
Portfolio Selection ◽  
Fuzzy Probability

scholarly journals A comparison of the Normal and Laplace distributions in the models of fuzzy probability distribution for portfolio selection

2020 ◽  
Vol 8 (5) ◽  
pp. 183-198
Author(s):  
Marcus Pinto da Costa da Rocha ◽  
Lucelia M. Lima ◽  
Valcir J. C. Farias ◽  
Benjamin Bedregal ◽  
Heliton R. Tavares
Keyword(s):  
Probability Distribution ◽  
Normal Distribution ◽  
Portfolio Selection ◽  
Real Data ◽  
Laplace Distribution ◽  
Fuzzy Probability ◽  
Variance Model ◽  
Risk Rate ◽  
Mean Variance ◽  
Fuzzy Normal Distribution

The propose of this work is applied the fuzzy Laplace distribution on a possibilistic mean-variance model presented by Li et al which appliehe fuzzy normal distribution. The theorem necessary to introduce the Laplace distribution in the model was demonstrated. It was made an analysis of the behavior of the fuzzy normal and fuzzy Laplace distributions on the portfolio selection with VaR constraint and risk-free investment considering real data. The results showns that were not difference in assets selection and in return rate, however, There was a change in the risk rate, which was higher in the Laplace distribution than in the normal distribution.

FOUR MODELS TO CALCULATE A FUZZY PROBABILITY DISTRIBUTION WITH A SMALL SAMPLE

2007 ◽  
Vol 06 (04) ◽  
pp. 611-623 ◽  
Author(s):  
CHONGFU HUANG ◽  
TIAN ZONG ◽  
ZHIFEN CHEN
Keyword(s):  
Probability Distribution ◽  
Natural Disaster ◽  
Small Sample ◽  
Fuzzy Probability ◽  
System Calls ◽  
Fuzzy Methods ◽  
Disaster System

The need to cope with complicated natural disaster system calls for a sophisticated way of analyzing it with the help of fuzzy methods. Therefore, four models are suggested succeedingly to represent a fuzzy probability distribution with a small sample. In this paper, we inspect the four models in detail and evaluate their performance on an emulation test.

Sparse portfolio selection with uncertain probability distribution

2021 ◽  
Author(s):  
Ripeng Huang ◽  
Shaojian Qu ◽  
Xiaoguang Yang ◽  
Fengmin Xu ◽  
Zeshui Xu ◽  
...  
Keyword(s):  
Probability Distribution ◽  
Portfolio Selection ◽  
Sparse Portfolio

Study on Fire Accident of Cotton Plant Based on L-R Fuzzy Numerals

2013 ◽  
Vol 716 ◽  
pp. 581-585
Author(s):  
Jin Feng Zhang ◽  
Yan Min Zheng
Keyword(s):  
Probability Distribution ◽  
Reliability Analysis ◽  
Cotton Plant ◽  
Fuzzy Number ◽  
Fault Tree ◽  
Fuzzy Probability ◽  
Fuzzy Information ◽  
Field Equipment ◽  
Fire Accidents ◽  
Fire Accident

A reliability analysis on fire accident was made by using the L-R fuzzy number with the function of fuzzy fault tree theory. According to the statistics of running condition of field equipment and the fuzzy information provided by expert experience, the fault tree of fire accident in the cotton plant was built, and the fuzzy probability distribution of the explosion was gained. The structural importance of each basic event also was analyzed, and the most important factors which influence the system were established. It provides a new way and means for the safety analysis of the system and preventing fire accidents.

scholarly journals EFFECTS OF APPLYING DIFFERENT RISK MEASURES ON THE OPTIMAL PORTFOLIO SELECTION: THE CASE OF THE BELGRADE STOCK EXCHANGE

2020 ◽  
pp. 017
Author(s):  
Jelena Z. Stanković ◽  
Evica Petrović ◽  
Ksenija Denčić-Mihajlov
Keyword(s):  
Probability Distribution ◽  
Quadratic Programming ◽  
Portfolio Selection ◽  
Optimization Algorithm ◽  
Stock Exchange ◽  
Risk Measures ◽  
Portfolio Theory ◽  
Optimal Portfolio Selection ◽  
Mean Variance ◽  
Variance Approach

Despite its wide use in practice, Modern Portfolio Theory and Markowitz’s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism. Therefore, standard Mean-Variance approach had been modified by applying more appropriate risk measures in optimization algorithm. The aim of this paper is to indicate efficiency of these models as well as justification of their usage in managing stocks portfolio on the Belgrade Stock Exchange.

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