平均风险价值约束下模糊投资组合过程的收益最大化

2018 7th International Conference on Reliability, Infocom Technologies and Optimization (Trends and Future Directions) (ICRITO) Pub Date : 2018-08-01 DOI:10.1109/ICRITO.2018.8748375

Y. Yoshida

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引用次数: 0

摘要

讨论了动态模糊资产管理中使用模糊随机变量的投资组合优化问题。利用动态/数学规划方法，导出了可行风险均值约束下动态收益最大化问题的解析解。最后给出了一个数值算例。很明显，平均风险价值比风险价值对投资组合优化更有用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Return-Maximizing in Fuzzy Portfolio Processes under Average Value-at-Risk Constraints

A portfolio optimization is argued over in dynamic fuzzy asset management, using fuzzy random variables. Analytical solutions for a dynamic ret urn-maximizing problem under feasible average value-at-risk constraints are derived by dynamic/mathematical programming. A numerical example is investigated. It becomes clear that average value-at-risk is more useful for the portfolio optimization than value-at-risk.

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2018 7th International Conference on Reliability, Infocom Technologies and Optimization (Trends and Future Directions) (ICRITO)

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