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On This Book: Clustering, Multisets, Rough Sets and Fuzzy Sets Read chapter Read first chapter

2017 | OriginalPaper | Chapter

A Dynamic Average Value-at-Risk Portfolio Model with Fuzzy Random Variables

Author : Yuji Yoshida

Published in: Fuzzy Sets, Rough Sets, Multisets and Clustering

Publisher: Springer International Publishing

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Abstract

A perception-based portfolio model under uncertainty is presented. In the proposed model, randomness and fuzziness are evaluated respectively by probabilistic expectation and the mean values with evaluation weights and \(\lambda \)-mean functions. Introducing average value-at-risks under conditions, this paper formulates average value-at-risks in dynamic stochastic environment. By dynamic programming approach, an optimality condition of the optimal portfolios for dynamic average value-at-risks is derived. It is shown that the optimal average value-at-risk is a solution of the optimality equation under a reasonable assumption, and an optimal portfolio weight is obtained from the equation.

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previous chapter OWA Aggregation of Probability Distributions Using the Probabilistic Exceedance Method
next chapter Group Decision Making: Consensus Approaches Based on Soft Consensus Measures
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Metadata
Title
A Dynamic Average Value-at-Risk Portfolio Model with Fuzzy Random Variables
Author
Yuji Yoshida
Copyright Year
2017
Book
Fuzzy Sets, Rough Sets, Multisets and Clustering

Print ISBN: 978-3-319-47556-1

Electronic ISBN: 978-3-319-47557-8

Copyright Year: 2017

DOI
https://doi.org/10.1007/978-3-319-47557-8_17

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