Title :
Combining probabilistic and possibilistic aspects of background risk
Author_Institution :
Dept. of Quantitative Methods, Univ. Loyola Andalucia, Cordoba, Spain
Abstract :
Investment models with background risk are usually treated by probability theory. In this paper two mixed models are studied: the investment risk is a fuzzy number (a random variable, respectively) and the background risk is a random variable (a fuzzy number, respectively). Optimization problems are formulated, the existence and computation of optimal solutions and the way they are influenced by the investor´s risk aversion are studied.
Keywords :
fuzzy set theory; investment; optimisation; probability; risk analysis; background risk; fuzzy number; investment models; investors risk aversion; optimization problems; probability theory;
Conference_Titel :
Computational Intelligence and Informatics (CINTI), 2012 IEEE 13th International Symposium on
Conference_Location :
Budapest
Print_ISBN :
978-1-4673-5205-5
Electronic_ISBN :
978-1-4673-5210-9
DOI :
10.1109/CINTI.2012.6496765
