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

摘要：

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.

关键词： risk measure fuzzy uncertainty portfolio selection finance

作者: Xiaoxian Ma Jilin Qu Jianquan Sun

作者单位: School of Finance and Banking Shandong University of Finance Jinan, 250014, China School of Accounting Shandong University of Finance Jinan, 250014, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 97-101

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）