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On the first moments and semi-moments of fuzzy variables based on a new measure and application for portfolio selection with fuzzy returns

Author

Listed:
  • Justin Dzuche

    (Université de Douala)

  • Christian Deffo Tassak

    (Université de Douala)

  • Jules Sadefo-Kamdem

    (MRE - Montpellier Recherche en Economie - UM - Université de Montpellier, UG - Université de Guyane)

  • 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 [11] 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 vari-able 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, 2019. "On the first moments and semi-moments of fuzzy variables based on a new measure and application for portfolio selection with fuzzy returns," Working Papers hal-02433463, HAL.
    • Handle: RePEc:hal:wpaper:hal-02433463
    Note: View the original document on HAL open archive server: https://hal.umontpellier.fr/hal-02433463
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    References listed on IDEAS

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    1. Sadefo Kamdem, Jules & Tassak Deffo, Christian & Fono, Louis Aimé, 2012. "Moments and semi-moments for fuzzy portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 517-530.
    2. Jules Sadefo-Kamdem & Justin Dzuche & Christian Deffo Tassak, 2017. "Expected value and variance of a fuzzy variable based on a new fuzzy measure," Post-Print hal-02938085, HAL.
    3. Li, Xiang & Qin, Zhongfeng & Kar, Samarjit, 2010. "Mean-variance-skewness model for portfolio selection with fuzzy returns," European Journal of Operational Research, Elsevier, vol. 202(1), pages 239-247, April.
    4. Dai, C. & Cai, Y.P. & Li, Y.P. & Sun, W. & Wang, X.W. & Guo, H.C., 2014. "Optimal strategies for carbon capture, utilization and storage based on an inexact mλ-measure fuzzy chance-constrained programming," Energy, Elsevier, vol. 78(C), pages 465-478.
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