Return-Maximizing in Fuzzy Portfolio Processes under Average Value-at-Risk Constraints

Return-Maximizing in Fuzzy Portfolio Processes under Average Value-at-Risk Constraints
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DOI：
10.1109/icrito.2018.8748375
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发表时间：
2018-08
期刊：
2018 7th International Conference on Reliability, Infocom Technologies and Optimization (Trends and Future Directions) (ICRITO)
影响因子：
--
通讯作者：
Y. Yoshida
Y. Yoshida
中科院分区：
其他
文献类型：
--
作者：
Y. Yoshida

文献摘要

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利用模糊随机变量，对动态模糊资产管理中的投资组合优化问题进行了研究。利用动态/数学规划方法，给出了可行平均风险值约束下的动态回报最大化问题的解析解。最后给出了一个数值算例。很明显，平均风险价值比风险价值更有利于投资组合的优化。
A portfolio optimization is argued over in dynamic fuzzy asset management, using fuzzy random variables. Analytical solutions for a dynamic ret urn-maximizing problem under feasible average value-at-risk constraints are derived by dynamic/mathematical programming. A numerical example is investigated. It becomes clear that average value-at-risk is more useful for the portfolio optimization than value-at-risk.