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.
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Yoshida, Y. (2008). A Risk-Sensitive Portfolio with Mean and Variance of Fuzzy Random Variables. In: Huang, DS., Wunsch, D.C., Levine, D.S., Jo, KH. (eds) Advanced Intelligent Computing Theories and Applications. With Aspects of Artificial Intelligence. ICIC 2008. Lecture Notes in Computer Science(), vol 5227. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-85984-0_44
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DOI: https://doi.org/10.1007/978-3-540-85984-0_44
Publisher Name: Springer, Berlin, Heidelberg
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