Some applications of possibilistic mean value, variance, covariance and correlation

In 2001 we introduced the notions of possibilistic mean value and variance of fuzzy numbers. In this paper we list some works that use these notions. We shall mention some application areas as wel

A pure probabilistic interpretation of possibilistic expected value, variance, covariance and correlation

In this work we shall give a pure probabilistic interpretation of possibilistic expected value, variance, covariance and correlation

Robust portfolio management with multiple financial analysts

Portfolio selection theory, developed by Markowitz (1952), is one of the best known and widely applied methods for allocating funds among possible investment choices, where investment decision making is a trade-off between the expected return and risk of the portfolio. Many portfolio selection models have been developed on the basis of Markowitz’s theory. Most of them assume that complete investment information is available and that it can be accurately extracted from the historical data. However, this complete information never exists in reality. There are many kinds of ambiguity and vagueness which cannot be dealt with in the historical data but still need to be considered in portfolio selection. For example, to address the issue of uncertainty caused by estimation errors, the robust counterpart approach of Ben-Tal and Nemirovski (1998) has been employed frequently in recent years. Robustification, however, often leads to a more conservative solution. As a consequence, one of the most common critiques against the robust counterpart approach is the excessively pessimistic character of the robust asset allocation. This thesis attempts to develop new approaches to improve on the respective performances of the robust counterpart approach by incorporating additional investment information sources, so that the optimal portfolio can be more reliable and, at the same time, achieve a greater return. [Continues.

Penghasilan manual rjngkas penggunaan alat Total Station Sokkia Set5f dan Perisian Sdr Mapping & Design untuk automasi ukur topografi

Projek ini dilaksanakan untuk menghasilkan manual ringkas penggunaan alat Total Station Sokkia SET5F dan Perisian SDR Mapping & Design dalam menghasilkan pelan topografi yang lengkap mengikut konsep field to finish. Manual telah dihasilkan dalam dua bentuk iaitu buku dan CD-ROM. Manual ini telah dinilai berdasarkan data yang diperolehi daripada 7 orang responden melalui kaedah Borang Penilaian Manual. Analisis data dilakukan menggunakan perisian SPSS versi 11.0. Hasil analisis skor min menunjukkan kesemua responden bersetuju bahawa manual dalam bentuk buku ini menarik Min ( M ) ^ ^ dan Sisihan Piawai (SD) = .535 tetapi kurang interaktif (M) = 2.29 dan (SD) = 0.488. Berbanding dengan manual dalam format CD-ROM yang mencatat nilai (M) = 3.57 dan (SD) = 0.535 semua responden bersetuju bahawa manual ini mesra pengguna dan lebih interakti

On theoretical pricing of options with fuzzy estimators

AbstractIn this paper we present an application of a new method of constructing fuzzy estimators for the parameters of a given probability distribution function, using statistical data. This application belongs to the financial field and especially to the section of financial engineering. In financial markets there are great fluctuations, thus the element of vagueness and uncertainty is frequent. This application concerns Theoretical Pricing of Options and in particular the Black and Scholes Options Pricing formula. We make use of fuzzy estimators for the volatility of stock returns and we consider the stock price as a symmetric triangular fuzzy number. Furthermore we apply the Black and Scholes formula by using adaptive fuzzy numbers introduced by Thiagarajah et al. [K. Thiagarajah, S.S. Appadoo, A. Thavaneswaran, Option valuation model with adaptive fuzzy numbers, Computers and Mathematics with Applications 53 (2007) 831–841] for the stock price and the volatility and we replace the fuzzy volatility and the fuzzy stock price by possibilistic mean value. We refer to both cases of call and put option prices according to the Black & Scholes model and also analyze the results to Greek parameters. Finally, a numerical example is presented for both methods and a comparison is realized based on the results

Possibilistic risk aversion with many parameters

AbstractThe study of risk aversion of an agent confronted by a risk situations with several parameters is an important topic of risk theory. It is tackled traditionally with probabilistic methods. When these do not offer an appropriate shaping we can use Zadeh's possibility theory. In this paper a possibilistic model of risk aversion with several parameters is proposed. The notion of possibilistic risk premium vector is introduced as a measure of an agent's risk aversion to a situation with several risk parameters. The main result of the paper is an approximate calculation formula of this indicator. The way we can apply this model in risk aversion evaluation in grid computing is sketched out