Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns
研究了模糊变量上的两种有序支配关系（一阶和二阶支配），证明它们满足六种比较方法的良好性质，并基于博弈论提出模糊收益下最优投资组合的确定方法。
Peng et al (Int J Uncertain Fuzziness Knowl Based Syst 15:29–41, Citation2007) 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.