On the possibilistic mean value and variance of multiplication of fuzzy numbers

Authors:
Wei Chen;Shaohua Tan
Affiliations:
School of Electronics Engineering and Computer Science, Peking University, Beijing 100871, China;School of Electronics Engineering and Computer Science, Peking University, Beijing 100871, China
Venue:
Journal of Computational and Applied Mathematics
Year:
2009

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Abstract

In this paper, we introduce the definitions of the possibilistic mean, variance and covariance of multiplication of fuzzy numbers, and show some properties of these definitions. Then, we apply these definitions to build the possibilistic models of portfolio selection under the situations involving uncertainty over the time horizon, by considering the portfolio selection problem from the point of view of possibilistic analysis. Moreover, numerical experiments with real market data indicate that our approach results in better portfolio performance.