Moments and Semi-Moments for fuzzy portfolios selection

Louis Aimé Fono (), Jules Sadefo-Kamdem and Christian Tassak
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Louis Aimé Fono: MASS - Laboratoire de Mathématiques appliquées aux Sciences Sociales - Université de Douala
Jules Sadefo-Kamdem: LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier
Christian Tassak: MASS - Laboratoire de Mathématiques appliquées aux Sciences Sociales - Université de Douala
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

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Abstract: The aim of this paper is to consider the moments and the semi-moments (i.e semi-kurtosis) for portfolio selection with fuzzy risk factors (i.e. trapezoidal risk factors). In order to measure the leptokurtocity of fuzzy portfolio return, notions of moments (i.e. Kurtosis) kurtosis and semi-moments(i.e. Semi-kurtosis) for fuzzy port- folios are originally introduced in this paper, and their mathematical properties are studied. As an extension of the mean-semivariance-skewness model for fuzzy portfolio, the mean-semivariance-skewness- semikurtosis is presented and its four corresponding variants are also considered. We briefly designed the genetic algorithm integrating fuzzy simulation for our optimization models.

Keywords: Fuzzy moments; Credibility theory; Portfolios; Asset allocation; multi-objective optimization (search for similar items in EconPapers)
Date: 2011-01-05
Note: View the original document on HAL open archive server: https://hal.science/hal-00567012v1
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Moments and semi-moments for fuzzy portfolio selection (2012)
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