Portfolios Optimization with Coherent Risk Measures in Fuzzy Asset Management

被引：0

作者：

Yoshida, Yuji ^{[1
]}

机构：

[1] Univ Kitakyushu, Fac Econ & Business Adm, 4-2-1 Kitagata, Kitakyushu, Fukuoka 8028577, Japan

来源：

2017 5TH INTERNATIONAL SYMPOSIUM ON COMPUTATIONAL AND BUSINESS INTELLIGENCE (ISCBI) | 2017年

关键词：

Risk measure; fuzzy random variable; perception-based extension; portfolio allocation; possibility-necessity weight; pessimistic-optimistic index; VALUE-AT-RISK; RANDOM-VARIABLES; MODELS;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

An portfolio optimization problem with fuzzy random variables is discussed. Risk measures for fuzzy random variables are introduced by perception-based approach. Randomness is estimated stochastically, and fuzziness are evaluated by the mean values with evaluation weights and lambda-mean functions. Using coherent risk measures, we discuss a portfolio optimization problem under randomness and fuzziness. By analytical approach, we derive a solution of the portfolio problem. A numerical example is given to explain the results.

引用

页码：100 / 104

页数：5

共 50 条

[1] Portfolio optimization in fuzzy asset management with coherent risk measures derived from risk averse utility
Yoshida, Yuji
NEURAL COMPUTING & APPLICATIONS, 2020, 32 (15) : 10847 - 10857
[2] Portfolio optimization in fuzzy asset management with coherent risk measures derived from risk averse utility
Yuji Yoshida
Neural Computing and Applications, 2020, 32 : 10847 - 10857
[3] Dynamic risk-sensitive fuzzy asset management with coherent risk measures derived from decision maker's utility
Yoshida, Yuji
GRANULAR COMPUTING, 2021, 6 (01) : 19 - 35
[4] Maximization of Returns under an Average Value-at-Risk Constraint in Fuzzy Asset Management
Yoshida, Yuji
KNOWLEDGE-BASED AND INTELLIGENT INFORMATION & ENGINEERING SYSTEMS, 2017, 112 : 11 - 20
[5] Portfolio optimization with perception-based risk measures in dynamic fuzzy asset management
Yoshida, Yuji
GRANULAR COMPUTING, 2019, 4 (04) : 615 - 627
[6] Dynamic Optimization of Value-at-Risk Portfolios with Fuzziness in Asset Management
Yoshida, Yuji
2016 SEVENTH INTERNATIONAL CONFERENCE ON INTELLIGENT CONTROL AND INFORMATION PROCESSING (ICICIP), 2016, : 1 - 4
[7] Portfolio optimization with perception-based risk measures in dynamic fuzzy asset management
Yuji Yoshida
Granular Computing, 2019, 4 : 615 - 627
[8] Dynamic risk-sensitive fuzzy asset management with coherent risk measures derived from decision maker’s utility
Yuji Yoshida
Granular Computing, 2021, 6 : 19 - 35
[9] Dynamic Fuzzy Asset Management for Worst Scenarios with Average Value-at-Risks
Yoshida, Yuji
2018 IEEE 5TH INTERNATIONAL CONGRESS ON INFORMATION SCIENCE AND TECHNOLOGY (IEEE CIST'18), 2018, : 437 - 442
[10] Risk-sensitive Markov Decision Processes with Risk Constraints of Coherent Risk Measures in Fuzzy and Stochastic Environment
Yoshida, Yuji
IJCCI: PROCEEDINGS OF THE 11TH INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL INTELLIGENCE, 2019, : 269 - 277

← 1 2 3 4 5 →