Portfolios optimization with coherent risk measures in fuzzy asset management

Abstract

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 λ-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.