Forecasting portfolio returns using weighted fuzzy time series methods
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- 作者：Abel Rubio arufor@alumni.uv.es" class="auth_mail" title="E-mail the corresponding author ; José ; D. Bermú ; dez bermudez@uv.es" class="auth_mail" title="E-mail the corresponding author ; Enriqueta Vercher ; enriqueta.vercher@uv.es" class="auth_mail" title="E-mail the corresponding author
- 关键词：Fuzzy time series ; Fuzzy sets ; Possibilistic moments ; Portfolio returns ; Forecasting
- 刊名：International Journal of Approximate Reasoning
- 出版年：2016
- 出版时间：August 2016
- 年：2016
- 卷：75
- 期：Complete
- 页码：1-12
- 全文大小：418 K
文摘
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Present a new weighted fuzzy time series (FTS) method to forecast portfolio returns.
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Generating trapezoidal numbers as fuzzy forecasts of the portfolio returns.
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Possibilistic moments approximate the uncertain parameters of the fuzzy portfolio.
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Compare performances of fuzzy and non-fuzzy methods using a Spanish IBEX35 data set.
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Assess the statistical significance of our FTS method for improving forecast accuracy.