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15 février 2018
- handle: 10670/1.c5rsjq
- hal: hal-02901704
- doi: 10.1057/s41274-016-0164-5
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info:eu-repo/semantics/altIdentifier/doi/10.1057/s41274-016-0164-5
Mots-clés
credibility measure fuzzy variable first-order dominance second-order dominance set of best portfoliosSujets proches
Falsehood Credibility Untruthfulness Believability Lying Relations--Foreign countries Relations (Canon law)Citer ce document
Christian Deffo Tassak et al., « Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns », HAL-SHS : économie et finance, ID : 10.1057/s41274-016-0164-5
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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.