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.
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页数：5
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