Title :
A Risk Measure with Conditional Expectation and Portfolio Optimization with Fuzzy Uncertainty
Author :
Ma, Xiaoxian ; Qu, Jilin ; Sun, Jianquan
Author_Institution :
Sch. of Finance & Banking, Shandong Univ. of Finance, Jinan, China
Abstract :
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.
Keywords :
fuzzy set theory; investment; optimisation; possibility theory; risk management; fuzzy assets allocation problem; fuzzy conditional value-at-risk; fuzzy portfolio selection model; fuzzy uncertainty; portfolio optimization; possibility spaces; risk measure; Asset management; Banking; Costs; Data security; Finance; Mathematical programming; Portfolios; Reactive power; Risk management; Stochastic processes; finance; fuzzy uncertainty; portfolio selection; risk measure;
Conference_Titel :
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3705-4
DOI :
10.1109/BIFE.2009.32
