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Journal of the Operational Research Society

, Volume 68, Issue 12, pp 1491–1502 | Cite as

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

  • Christian Deffo Tassak
  • Jules Sadefo Kamdem
  • Louis Aimé Fono
  • Nicolas Gabriel Andjiga
Article
  • 1.1k Downloads

Abstract

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.

Keywords

credibility measure fuzzy variable first-order dominance second-order dominance set of best portfolios 

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Copyright information

© The Operational Research Society 2017

Authors and Affiliations

  • Christian Deffo Tassak
    • 1
  • Jules Sadefo Kamdem
    • 2
    • 3
  • Louis Aimé Fono
    • 4
  • Nicolas Gabriel Andjiga
    • 5
  1. 1.Laboratoire de Mathématiques et Applications Fondamentales, UFDR MIBA - CRFD STGUniversité de Yaoundé IYaoundéCameroon
  2. 2.LAMETA CNRS UMR 5474 (Montpellier)MontpellierFrance
  3. 3.DFR SJE, Campus de TroubiranUniversité de GuyaneCayenne CedexFrance
  4. 4.Laboratoire de Mathématiques et Faculté des SciencesUniversité de DoualaDoualaCameroun
  5. 5.Laboratoire de Mathématiques et Applications Fondamentales, UFDR MIBA - CRFD STG et ENS YaoundéUniversité de Yaoundé IYaoundéCameroon

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