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A Risk-Minimizing Model Under Uncertainty in Portfolio

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Foundations of Fuzzy Logic and Soft Computing (IFSA 2007)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 4529))

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Abstract

A risk-minimizing portfolio model under uncertainty is discussed. In the uncertainty model, the randomness and fuzziness are evaluated respectively by the probabilistic expectation and mean values with evaluation weights and λ-mean functions. The means, variances and the measurements of fuzziness for fuzzy numbers/fuzzy random variables are applied in the possibility case and the necessity case, and a risk estimation is derived from both random factors and fuzzy factors in the model. By quadratic programming approach, we derive a solution of the risk-minimizing portfolio problem. It is shown that the solution is a tangency portfolio. A numerical example is given to illustrate our idea.

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Authors and Affiliations

  1. Faculty of Economics and Business Administration, University of Kitakyushu, 4-2-1 Kitagata, Kokuraminami, Kitakyushu 802-8577, Japan

    Yuji Yoshida

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  1. Yuji Yoshida
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Editor information

Patricia Melin Oscar Castillo Luis T. Aguilar Janusz Kacprzyk Witold Pedrycz

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Yoshida, Y. (2007). A Risk-Minimizing Model Under Uncertainty in Portfolio. In: Melin, P., Castillo, O., Aguilar, L.T., Kacprzyk, J., Pedrycz, W. (eds) Foundations of Fuzzy Logic and Soft Computing. IFSA 2007. Lecture Notes in Computer Science(), vol 4529. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-72950-1_38

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  • DOI: https://doi.org/10.1007/978-3-540-72950-1_38

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-72917-4

  • Online ISBN: 978-3-540-72950-1

  • eBook Packages: Computer ScienceComputer Science (R0)

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