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hal-00567012, version 1

Moments and Semi-Moments for fuzzy portfolios selection

Louis Aimé Fono () 1, Jules Sadefo Kamdem (Author to contact preferably) 2, Christian Tassak 3

(05/01/2011)

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.

  • 1:  Laboratoire de Mathématiques appliquées aux Sciences Sociales (MASS)
  • Université de Douala
  • 2:  Laboratoire Montpelliérain d'Économie Théorique et Appliquée (LAMETA)
  • Université Montpellier I – CNRS : UMR5474 – Institut national de la recherche agronomique (INRA) : UR1135 – Centre international de hautes études agronomiques méditerranéennes [CIHEAM]
  • 3:  Laboratoire de Mathématiques appliquées aux Sciences Sociales (MASS)
  • Université de Douala
  • Domain : Quantitative Finance/Computational Finance
    Computer Science/Computational Engineering, Finance, and Science
    Quantitative Finance/Portfolio Management
    Mathematics/Probability
    Mathematics/Statistics
    Statistics/Statistics Theory
  • Keywords : Fuzzy moments – Credibility theory – Portfolios – Asset allocation – multi-objective optimization
 
  • hal-00567012, version 1
  • http://hal.archives-ouvertes.fr/hal-00567012
  • oai:hal.archives-ouvertes.fr:hal-00567012
  • From: Jules Sadefo Kamdem <>
  • Submitted on: Friday, 18 February 2011 15:40:29
  • Updated on: Friday, 18 February 2011 17:19:50