Minimizing Value-at-Risk methodology under fuzzy-stochastic approach
This paper describes new models for portfolio seleo tion under uncertainty with risk and vagueness aspects which an solved by fuzzy-stochastic methodology. And the correspondinj optimal portfolio is derived using minimizing Value-at-risk(VaR) The VaR concept has been extended to the portfolio value-at-risl measure used for managing risk and returns under a multiple asset portfolio. An approach to modeling risks by VaR undei imprecise and fuzzy conditions is discussed. It is supposed thai the input data and problem conditions is difficult to determim as real numbers or as some precise distribution functions. Thus vagueness is modeling through the fuzzy numbers. A numerical example of a portfolio selection problem is given to illustrate out proposed approaches. P
portfolio selection value-at-risk fuzzy set theory experts judgments fuzzy random variables
Ying-yu He
Department of Mathematics, Zhejiang University, Hangzhou, China 310028 Department of Mathematics, Hangzhou Normal University, Hangzhou China 310012
国际会议
太原
英文
120-124
2010-10-22（万方平台首次上网日期，不代表论文的发表时间）