模糊资产管理中具有一致风险度量的投资组合优化

2017 5th International Symposium on Computational and Business Intelligence (ISCBI) Pub Date : 2017-08-01 DOI:10.1109/ISCBI.2017.8053553

Y. Yoshida

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引用次数: 3

摘要

讨论了一类具有模糊随机变量的投资组合优化问题。采用基于感知的方法引入模糊随机变量的风险度量。随机估计随机性，用评价权值和λ均值函数对均值进行模糊评价。利用相干风险测度，讨论了随机和模糊条件下的投资组合优化问题。利用分析方法，导出了投资组合问题的一个解。给出了一个数值算例来解释结果。

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Portfolios optimization with coherent risk measures in fuzzy asset management

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.

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来源期刊

2017 5th International Symposium on Computational and Business Intelligence (ISCBI)

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