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In asset management with uncertainty, a dynamic portfolio allocation problem to minimize the average rates of falling is discussed. Introducing coherent risk measures and average value-at-risks, this paper deals with portfolio optimization to make the asset management stable for a long term. These criteria are applied to fuzzy random variables by perception-based extension. In this model, randomness...
The optimization problem of long-run time-average fuzzy rewards in multi-stage decision processes with fuzzy transitions is discussed. The rewards are estimated by a fuzzy expectation, which is defined by possibility measures generated by fuzzy goals and t-norms. An optimal policy and an optimal payoff are given for the optimization problem.
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