Title :
Fuzzy dynamic programming solution of the asset allocation problem
Author :
Gatev, Geo I. ; Vladov, George V.
Author_Institution :
Fac. of Automatica, Tech. Univ. of Sofia, Bulgaria
Abstract :
An asset allocation problem is studied where the asset classes in the investment portfolio are already selected and the profit from each assets class varies within a known range. The problem is solved using fuzzy dynamic programming. An illustrative example is included.
Keywords :
dynamic programming; economic cybernetics; fuzzy set theory; investment; stock markets; asset allocation problem; fuzzy dynamic programming; fuzzy number; investment portfolio; optimal solution; Arithmetic; Asset management; Bonding; Constraint optimization; Dynamic programming; Economic indicators; Fuzzy sets; Investments; Portfolios; Uncertainty;
Conference_Titel :
Intelligent Systems, 2002. Proceedings. 2002 First International IEEE Symposium
Print_ISBN :
0-7803-7134-8
DOI :
10.1109/IS.2002.1042577
