Title :
Analysis of expected utility toward fuzzy wealth and applications in portfolio selection
Author :
Surong You ; Qiao Lei
Author_Institution :
Coll. of Sci., Donghua Univ., Shanghai, China
Abstract :
An expected utility model is proposed to measure the utility toward fuzzy wealth. Some properties and concepts, such as certainty equivalence are analyzed. Based on maximizing the expected utility, some models are given to consider how to form an optimal portfolio: the first problem on investing in a crisp asset and an uncertainty asset with fuzzy value, the second problem on investing in a set of fuzzy assets. A condition for the existence of optimal portfolio is given.
Keywords :
financial management; fuzzy set theory; investment; fuzzy value; fuzzy wealth; optimal portfolio; portfolio selection application; utility model; Analytical models; Educational institutions; Fuzzy sets; Portfolios; Programming; Security; Uncertainty; fuzzy number; portfolio selection; utility maximization; weighted expected utility;
Conference_Titel :
Fuzzy Systems and Knowledge Discovery (FSKD), 2011 Eighth International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-61284-180-9
DOI :
10.1109/FSKD.2011.6019760
