Optimization of dynamic maximum for value-at-risks with fuzziness in asset management
Optimization of dynamic maximum for value-at-risks with fuzziness in asset management
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DOI：
10.1109/fuzz-ieee.2017.8015420
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发表时间：
2017-07
期刊：
影响因子：
--
通讯作者：
Y. Yoshida
中科院分区：
文献类型：
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作者：
Y. Yoshida
讨论了具有模糊性的资产管理中的动态投资组合配置问题。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风险价值的动态投资组合模型。通过动态规划和数学规划，导出了优化问题的解析解。最后给出了数值算例。
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.