Maximization of Returns under Value-at-Risk Constraints in Dynamic Fuzzy Asset Allocation
Maximization of Returns under Value-at-Risk Constraints in Dynamic Fuzzy Asset Allocation
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DOI：
10.1109/fuzz-ieee.2018.8491675
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发表时间：
2018-07
期刊：
影响因子：
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通讯作者：
Y. Yoshida
中科院分区：
文献类型：
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作者：
Y. Yoshida
资产管理中的动态投资组合配置具有模糊性。通过对模糊随机变量进行基于感知的扩展，建立了具有模糊随机变量风险值的动态投资组合模型。通过动态规划和数学规划，得到了优化问题的解析解。给出了一个数值算例，并对结果进行了讨论。
Dynamic portfolio allocation is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, a dynamic portfolio model with 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 discuss the results.