DocumentCode
553147
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
Volume
2
fYear
2011
fDate
26-28 July 2011
Firstpage
791
Lastpage
795
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Fuzzy Systems and Knowledge Discovery (FSKD), 2011 Eighth International Conference on
Conference_Location
Shanghai
Print_ISBN
978-1-61284-180-9
Type
conf
DOI
10.1109/FSKD.2011.6019760
Filename
6019760
Link To Document