# Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns

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## Abstract

Peng *et al* (Int J Uncertain Fuzziness Knowl Based Syst 15:29–41, 2007) 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.

## Keywords

credibility measure fuzzy variable first-order dominance second-order dominance set of best portfolios## References

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