Dynamic Optimization of Value-at-Risk Portfolios 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：
2016 SEVENTH INTERNATIONAL CONFERENCE ON INTELLIGENT CONTROL AND INFORMATION PROCESSING (ICICIP) | 2016年
关键词：
Dynamic optimization; fuzzy random variable; value-at-risk; portfolio; perception; FUZZY RANDOM-VARIABLES; VARIANCE;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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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页码：1 / 4
页数：4
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