A Risk Measure with Conditional Expectation and Portfolio Optimization with Fuzzy Uncertainty

In order to solve assets allocation problem with fuzzy uncertainty, a fuzzy portfolio selection model is used in this paper. By introducing a coherent risk measure named fuzzy conditional value-at-risk in possibility spaces, the model can rationally solve fuzzy assets allocation problem. Impractical...

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Bibliographic Details
Published in2009 International Conference on Business Intelligence and Financial Engineering pp. 97 - 101
Main Authors Xiaoxian Ma, Jilin Qu, Jianquan Sun
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.07.2009
Subjects
Asset management
Banking
Costs
Data security
Finance
fuzzy uncertainty
Mathematical programming
portfolio selection
Portfolios
Reactive power
Risk management
risk measure
Stochastic processes
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Summary:In order to solve assets allocation problem with fuzzy uncertainty, a fuzzy portfolio selection model is used in this paper. By introducing a coherent risk measure named fuzzy conditional value-at-risk in possibility spaces, the model can rationally solve fuzzy assets allocation problem. Impractical results indicate that efficient frontier of the model is a band. This approach can effectively solve assets allocation problems with fuzzy uncertainty.
ISBN:9780769537054
0769537057
DOI:10.1109/BIFE.2009.32