%A Yoshida, Yuji %D 2019 %T Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks %B 2019 %9 %! Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks %K %X A dynamic portfolio allocation is discussed in asset management with fuzziness. By perception-based extension for fuzzy random variables, a dynamic portfolio model for w eighted a verage value-at-risks of fuzzy random variables is introduced. By dynamic programming and mathematical programming, this paper derives analytical solutions of the optimization problem for dynamic worst scenarios. A few numerical examples are given to discuss the results. We find the w eighted a verage value-at-risk is a more reasonable criterion than value-at-risk. %U https://innove.org/ijist/index.php/ijist/article/view?path= %J International Journal of Information Science and Technology %0 Journal Article %R 10.57675/IMIST.PRSM/ijist-v3i3.67 %& 39 %P 7 %V 3 %N 3 %@ 2550-5114 %8 2019-04-26 %7 2019-04-26