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. © Springer-Verlag Berlin Heidelberg 2007.
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Zhang, J., Tang, W., Wang, C., & Zhao, R. (2007). Fuzzy dynamic portfolio selection for survival. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 4681 LNCS, pp. 34–45). Springer Verlag. https://doi.org/10.1007/978-3-540-74171-8_5
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