A1689
Title: Fuzzy multiplication and its applications in multi-period portfolio selection
Authors: Xiang Li - Beijing University of Chemical Technology (China) [presenting]
Abstract: A fuzzy number is a normal and convex fuzzy subset of the real line. Bsed on membership function, we give the expression of the mean value of the multiplication of two positive fuzzy numbers. Furthermore, we propose the possibilistic simulation technique and prove its effectiveness. A fuzzy multi-period mean-variance- skewness portfolio selection model is formulated, which is transformed to a single-objective model based on different risk preferences. Finally, we present some numerical examples to demonstrate the effectiveness of the proposed models.
Journal