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An portfolio optimization problem with fuzzy random variables is discussed. Risk measures for fuzzy random variables are introduced by perception-based approach. Randomness is estimated stochastically, and fuzziness are evaluated by the mean values with evaluation weights and λ-mean functions. Using coherent risk measures, we discuss a portfolio optimization problem under randomness and fuzziness...
Using fuzzy random variables, a dynamic portfolio model with uncertainty is mentioned for object system. In this approach, the random property is numerated by stochastic expectation and the fuzzy property is also numerated by weights and mean functions. A value-at-risk is introduced to assess the risk of unfavorable paths in investment. Using dynamic programming and mathematical programming, the optimal...
A value-at-risk portfolio selection model to maximize not only the expected daily geometric return but also value-at-risk is discussed. The analytical solutions of the value-at-risk portfolio problem are derived. From the analytical results, this paper gives formulae to show the explicit relations among the following important parameters in portfolio: Value-at-risk, the expected daily geometric return,...
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