Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks

Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks
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发表时间：
2019-04
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通讯作者：
Y. Yoshida
Y. Yoshida
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作者：
Y. Yoshida

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模糊资产管理中讨论了动态投资组合配置。通过对模糊随机变量的基于感知的扩展，引入了模糊随机变量平均风险值的动态投资组合模型。通过动态规划和数学规划，本文推导了动态最坏情况下优化问题的解析解。给出了一些数值例子来讨论结果。我们发现加权平均风险价值是比风险价值更合理的标准。
A dynamic portfolio allocation is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, a dynamic portfolio model for w eighted a verage value-at-risks of fuzzy random variables is introduced. By dynamic programming and mathematical programming, this paper derives analytical solutions of the optimization problem for dynamic worst scenarios. A few numerical examples are given to discuss the results. We find the w eighted a verage value-at-risk is a more reasonable criterion than value-at-risk.