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The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection

Author

Listed:
  • Justin Dzuche

    (Université de Douala)

  • Christian Deffo Tassak

    (UY1 - Université de Yaoundé I)

  • Jules Sadefo-Kamdem

    (MRE - Montpellier Recherche en Economie - UM - Université de Montpellier)

  • Louis Aimé Fono

    (Université de Douala)

Abstract

Possibility, necessity and credibility measures are used in the literature in order to deal with imprecision. Recently, Yang and Iwamura [L. Yang and K. Iwamura, Applied Mathematical Science2(46) (2008) 2271–2288] introduced a new measure as convex linear combination of possibility and necessity measures and they determined some of its axioms. In this paper, we introduce characteristics (parameters) of a fuzzy variable based on that measure, namely, expected value, variance, semi-variance, skewness, kurtosis and semi-kurtosis. We determine some properties of these characteristics and we compute them for trapezoidal and triangular fuzzy variables. We display their application for the determination of optimal portfolios when assets returns are described by triangular or trapezoidal fuzzy variables.

Suggested Citation

  • Justin Dzuche & Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2020. "The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection," Post-Print hal-02920346, HAL.
    • Handle: RePEc:hal:journl:hal-02920346
    DOI: 10.1142/S1793005720500167
    as

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