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Fuzzy Dynamic Portfolio Selection for Survival

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Advanced Intelligent Computing Theories and Applications. With Aspects of Theoretical and Methodological Issues (ICIC 2007)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 4681))

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Abstract

A discrete-time version of dynamic portfolio selection model for survival is proposed in fuzzy environments. The investor gains an initial wealth every period and has a given consumption requirement. The investor survives only if his wealth is large enough to meet the requirement every period over a finite time horizon. After consumption the investor allocates the rest between a risky and a risk-free asset. This paper assumes that the gross rate of return on the risky asset is a fuzzy variable, then the functional equation of dynamic programming is established. In order to get the optimal investment policy, a hybrid intelligent algorithm to solve the optimal problem is presented. Finally, an illustrative case is given to demonstrate the effectiveness of the proposed algorithm.

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Authors and Affiliations

  1. Institute of Systems Engineering, Tianjin University, Tianjin 300072, China

    Jinli Zhang, Wansheng Tang, Cheng Wang & Ruiqing Zhao

Authors
  1. Jinli Zhang
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  2. Wansheng Tang
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  3. Cheng Wang
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  4. Ruiqing Zhao
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Editor information

De-Shuang Huang Laurent Heutte Marco Loog

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© 2007 Springer Berlin Heidelberg

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Zhang, J., Tang, W., Wang, C., Zhao, R. (2007). Fuzzy Dynamic Portfolio Selection for Survival. In: Huang, DS., Heutte, L., Loog, M. (eds) Advanced Intelligent Computing Theories and Applications. With Aspects of Theoretical and Methodological Issues. ICIC 2007. Lecture Notes in Computer Science, vol 4681. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-74171-8_5

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  • DOI: https://doi.org/10.1007/978-3-540-74171-8_5

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-74170-1

  • Online ISBN: 978-3-540-74171-8

  • eBook Packages: Computer ScienceComputer Science (R0)

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