Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns

Christian Deffo Tassak (), Jules Sadefo Kamdem, Louis Aimé Fono () and Nicolas Gabriel Andjiga ()
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Christian Deffo Tassak: Université de Yaoundé I
Louis Aimé Fono: Université de Douala
Nicolas Gabriel Andjiga: Université de Yaoundé I

Journal of the Operational Research Society, 2017, vol. 68, issue 12, 1491-1502

Abstract: Abstract Peng et al (Int J Uncertain Fuzziness Knowl Based Syst 15:29–41, 2007) introduced, by means of the credibility measure, two dominance relations on fuzzy variables, namely the first- and the second-order dominances. In this paper, we characterize each of these dominance relations, and we justify that they satisfy six well-known properties of comparison methods. We propose a Game Theory approach for the determination of optimal portfolios when returns are fuzzy by introducing the set of best portfolios with respect to the first- and the second-order dominances. Based on the characterization of the first-order dominance, we numerically display some of the best portfolios of the classical set of portfolios of seven independent assets described by triangular fuzzy numbers.

Keywords: credibility measure; fuzzy variable; first-order dominance; second-order dominance; set of best portfolios (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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Working Paper: Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns (2018)
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DOI: 10.1057/s41274-016-0164-5

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