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A comparison of the Normal and Laplace distributions in the models of fuzzy probability distribution for portfolio selection

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DOI:
https://doi.org/10.31686/ijier.vol8.iss5.2332
Keywords:
Array, Array, Array
Abstract

The propose of this work is applied the fuzzy Laplace distribution on a possibilistic mean-variance model presented by Li et al which appliehe fuzzy normal distribution. The theorem necessary to introduce the Laplace distribution in the model was demonstrated. It was made an analysis of the behavior of the fuzzy normal and fuzzy Laplace distributions on the portfolio selection with VaR constraint and risk-free investment considering real data. The results showns that were not difference in assets selection and in return rate, however, There was a change in the risk rate, which was higher in the Laplace distribution than in the normal distribution.

Author Biography
  1. Benjamin Bedregal, Federal University of Rio Grande do Norte

    Departamento de Informática e Matemática Aplicada da

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Published
2020-05-01
Issue
Vol. 8 No. 5 (2020): International Journal for Innovation Education and Research
Section
Journal Articles
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Copyright (c) 2020 Marcus Pinto da Costa da Rocha, Lucelia M. Lima, Valcir J. C. Farias, Benjamin Bedregal, Heliton R. Tavares

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How to Cite

Pinto da Costa da Rocha, M., Lima, L. M., Farias, V. J. C., Bedregal, B., & Tavares, H. R. (2020). A comparison of the Normal and Laplace distributions in the models of fuzzy probability distribution for portfolio selection. International Journal for Innovation Education and Research, 8(5), 183-198. https://doi.org/10.31686/ijier.vol8.iss5.2332