A Dynamic Average Value-at-Risk Portfolio Model with Fuzzy Random Variables

• Published in: Fuzzy Sets, Rough Sets, Multisets and Clustering Vol. 671; pp. 291 - 306
• Main Author: Yoshida, Yuji
• Format: Book Chapter
• Language: English
• Published: Switzerland Springer International Publishing AG 2017; Springer International Publishing
• Series: Studies in Computational Intelligence
• Subjects: Artificial intelligence; Asset Price; Evaluation Weight; Fuzzy Number; Optimal Portfolio; Risk Probability

A perception-based portfolio model under uncertainty is presented. In the proposed model, randomness and fuzziness are evaluated respectively by probabilistic expectation and the mean values with evaluation weights and \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepacka...