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

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

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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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
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Articles
Author Biography

Benjamin Bedregal, Universidade Federal do Rio Grande do Norte

Departamento de Informática e Matemática Aplicada da

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