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

Marcus Pinto da Costa da Rocha; Lucelia M. Lima; Valcir J. C. Farias; Benjamin Bedregal; Heliton R. Tavares

doi:10.31686/ijier.vol8.iss5.2332

Authors

Marcus Pinto da Costa da Rocha a:1:{s:5:"en_US";s:30:"Sylvia Pinto da Costa da Rocha";}
Lucelia M. Lima Unama – Universidade da Amazônia
Valcir J. C. Farias Instituto de Ciências Exatas e Naturais da Universidade Federal do Pará
Benjamin Bedregal Universidade Federal do Rio Grande do Norte
Heliton R. Tavares Instituto de Ciências Exatas e Naturais da Universidade Federal do Pará

DOI:

https://doi.org/10.31686/ijier.vol8.iss5.2332

Keywords:

Fuzzy number, VaR, Portfolio selection

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.

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Author Biography

Benjamin Bedregal, Universidade Federal do Rio Grande do Norte

Departamento de Informática e Matemática Aplicada da

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