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

Justin Dzuche, Christian Deffo Tassak, Jules Sadefo-Kamdem and Louis Aimé Fono (lfono@yahoo.fr)
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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
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

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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.

Date: 2019
New Economics Papers: this item is included in nep-ore and nep-rmg
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Published in [Research Report] WP MRE 2019.8, MRE - Montpellier Recherche en Economie. 2019

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