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Article Dans Une Revue Journal of the Operational Research Society Année : 2018

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

Résumé

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.
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Dates et versions

hal-02901704 , version 1 (17-07-2020)

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Citer

Christian Deffo Tassak, Jules Sadefo-Kamdem, Louis Aimé Fono, Nicolas Gabriel Andjiga. Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns. Journal of the Operational Research Society, 2018, 68 (12), pp.1491-1502. ⟨10.1057/s41274-016-0164-5⟩. ⟨hal-02901704⟩
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