Moments and semi-moments for fuzzy portfolio selection

Jules Sadefo Kamdem, Christian Tassak Deffo and Louis Aimé Fono

Insurance: Mathematics and Economics, 2012, vol. 51, issue 3, 517-530

Abstract: The aim of this paper is to consider the moments and the semi-moments for credibilistic portfolio selection with fuzzy risk factors (for example trapezoidal risk factors). In order to measure the leptokurtocity of credibilistic portfolio return, notions of moments (for example Kurtosis) and semi-moments (for example Semi-kurtosis) for credibilistic portfolios are originally introduced in this paper, and their mathematical properties are studied. As an extension of the mean–variance–skewness model for credibilistic portfolio, the mean–variance–skewness–semi-kurtosis is presented and its four corresponding variants are also considered. We display numerical examples for our optimization models.

Date: 2012
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Citations: View citations in EconPapers (15)

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Related works:
Working Paper: Moments and Semi-Moments for fuzzy portfolios selection (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:3:p:517-530

DOI: 10.1016/j.insmatheco.2012.07.003

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