Optimization of Dynamic Maximum for Value-at-Risks with Fuzziness in 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 IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ-IEEE) | 2017年

关键词：

Dynamic programing; fuzzy random variable; perception-based estimation; value-at-risk; portfolio allocation; sharp falling; FUZZY RANDOM-VARIABLES; PORTFOLIO; 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：

A dynamic portfolio allocation is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, a dynamic portfolio model for value-at-risks of fuzzy random variables is introduced. By dynamic programming and mathematical programming, this paper derives analytical solutions for the optimization problem. A numerical example is given to demonstrate the results.

引用

页数：5

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