Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks

  • Yuji Yoshida University of Kitakyushu

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 weighted average 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 weighted average value-at-risk is a more reasonable criterion than value-at-risk.
Published
Apr 26, 2019
How to Cite
YOSHIDA, Yuji. Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks. International Journal of Information Science and Technology, [S.l.], v. 3, n. 3, p. 39 - 45, apr. 2019. ISSN 2550-5114. Available at: <https://innove.org/ijist/index.php/ijist/article/view/67>. Date accessed: 09 aug. 2022.
Section
Special Issue : Optimization and Modeling of Complex Systems