Abstract:
A dynamic portfolio allocation is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, a dynamic portfolio model for va...Show MoreMetadata
Abstract:
A dynamic portfolio allocation is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, a dynamic portfolio model for value-at-risks of fuzzy random variables is introduced. By dynamic programming and mathematical programming, this paper derives analytical solutions for the optimization problem. A numerical example is given to demonstrate the results.
Date of Conference: 09-12 July 2017
Date Added to IEEE Xplore: 24 August 2017
ISBN Information:
Electronic ISSN: 1558-4739