Abstract
This paper discusses a risk-sensitive portfolio problem, where the objective function is defined by randomness and fuzziness, and it introduces the perception-based extension of the expectation and the variance for fuzzy random variables. Fuzzy random variables are estimated by mean and variance with λ-mean functions and evaluation weights: A possibility-necessity weight ν for subjective estimation, and a pessimistic-optimistic index λ for subjective decision. A solution of the risk-sensitive portfolio problem is derived by quadratic programming approach. © 2008 Springer-Verlag Berlin Heidelberg.
Cite
CITATION STYLE
Yoshida, Y. (2008). A risk-sensitive portfolio with mean and variance of fuzzy random variables. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 5227 LNAI, pp. 358–366). https://doi.org/10.1007/978-3-540-85984-0_44
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