资产管理中具有模糊性的风险价值组合动态优化

2016 Seventh International Conference on Intelligent Control and Information Processing (ICICIP) Pub Date : 2016-12-01 DOI:10.1109/ICICIP.2016.7885875

Y. Yoshida

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引用次数: 0

摘要

利用模糊随机变量，建立了具有不确定性的目标系统动态投资组合模型。该方法采用随机期望来表示随机属性，同时采用权函数和均值函数来表示模糊属性。引入风险价值来评估投资中不利路径的风险。利用动态规划和数学规划方法，讨论了一类具有VaR的动态投资组合问题的最优解。导出了优化方程，并给出了各时段的最优投资组合。

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Dynamic optimization of value-at-risk portfolios with fuzziness in asset management

Using fuzzy random variables, a dynamic portfolio model with uncertainty is mentioned for object system. In this approach, the random property is numerated by stochastic expectation and the fuzzy property is also numerated by weights and mean functions. A value-at-risk is introduced to assess the risk of unfavorable paths in investment. Using dynamic programming and mathematical programming, the optimal solutions of a dynamic portfolio problem with VaR is mentioned. An optimization equation is derived and the optimal portfolios are given at each period.

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2016 Seventh International Conference on Intelligent Control and Information Processing (ICICIP)

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