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A Perception-Based Portfolio Under Uncertainty: Minimization of Average Rates of Falling

  • Yuji Yoshida
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 5861)

Abstract

A perception-based portfolio model under uncertainty is discussed. In the proposed model, randomness and fuzziness are evaluated respectively by the probabilistic expectation and the mean values with evaluation weights and λ-mean functions. The means, the variances and the covariances fuzzy numbers/fuzzy random variables are evaluated in the possibility case and the necessity case, and the rate of return with portfolios is estimated by the both random factors and imprecise factors. In the portfolio model, the average rate of falling is minimized using average value-at-risks as a coherent risk measure. By analytical approach, we derive a solution of the portfolio problem to minimize the average rate of falling. A numerical example is given to illustrate our idea.

Keywords

Fuzzy Number Portfolio Selection Risk Probability Evaluation Weight Short Selling 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Yuji Yoshida
    • 1
  1. 1.Faculty of Economics and Business AdministrationUniversity of KitakyushuKitakyushuJapan

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