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- Title
CVAR REDUCED FUZZY VARIABLES AND THEIR SECOND ORDER MOMENTS.
- Authors
BAI, X. J.; LIU, Y. K.
- Abstract
Based on credibilistic value-at-risk (CVaR) of regular fuzzy variable, we introduce a new CVaR reduction method for type-2 fuzzy variables. T h e reduced fuzzy variables are characterized by parametric possibility distributions. We establish some useful analytical expressions for mean values and second order moments of common reduced fuzzy variables. T h e convex properties of second order moments with respect to parameters are also discussed. Finally, we take second order moment as a new risk measure, and develop a mean-moment model to optimize fuzzy portfolio selection problem s. According to the an alytical form ulas of second order moments, the mean-moment optimization model is equivalent to parametric quadratic convex programming problem s, which can be solved by general-purpose optimization software. The solution results reported in the numerical experiments demonstrate the credibility of the proposed optimization method.
- Subjects
FUZZY control systems; VALUE at risk; MATHEMATICAL optimization; QUADRATIC equations; SYSTEM analysis
- Publication
Iranian Journal of Fuzzy Systems, 2015, Vol 12, Issue 5, p45
- ISSN
1735-0654
- Publication type
Article