Maximization of Returns under an Average Value-at-Risk Constraint in Fuzzy Asset Management

A portfolio allocation model is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, the estimation methods of asset risks are introduced. Introducing an average value-at-risk for fuzzy random variables, this paper formulates a portfolios allocation...

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Bibliographic Details
Published inProcedia computer science Vol. 112; pp. 11 - 20
Main Author Yoshida, Yuji
Format Journal Article
LanguageEnglish
Published Elsevier B.V 2017
Subjects
Average value-at-risk
drastic decline
fuzzy random variable
perception-based extension
pessimistic-optimistic index
portfolio allocation
possibility-necessity weight
risk-sensitive portfolio
Average value-at-risk
drastic decline
possibility-necessity weight
portfolio allocation
pessimistic-optimistic index
fuzzy random variable
risk-sensitive portfolio
perception-based extension
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Summary:A portfolio allocation model is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, the estimation methods of asset risks are introduced. Introducing an average value-at-risk for fuzzy random variables, this paper formulates a portfolios allocation model with average value-at-risks. This paper discusses maximization of the expected return under an average value-at-risk constraint with fuzzy random variables. A numerical example is given to demonstrate the results.
ISSN:1877-0509
1877-0509
DOI:10.1016/j.procs.2017.08.001