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Fuzzy Risk Measures and its Application to Portfolio Optimization
Xiaoxian Ma,Qingzhen Zhao,Fangai Liu 한국전산응용수학회 2009 Journal of applied mathematics & informatics Vol.27 No.3
In possibility framework, we propose two risk measures named Fuzzy Value-at-Risk and Fuzzy Conditional Value-at-Risk, based on Credibility measure. Two portfolio optimization models for fuzzy portfolio selection problems are formulated. Then a chaos genetic algorithm based on fuzzy simulation is designed, and finally computational results show that the two risk measures can play a role in possibility space similar to Value-at-Risk and Conditional Value-at-Risk in probability space. In possibility framework, we propose two risk measures named Fuzzy Value-at-Risk and Fuzzy Conditional Value-at-Risk, based on Credibility measure. Two portfolio optimization models for fuzzy portfolio selection problems are formulated. Then a chaos genetic algorithm based on fuzzy simulation is designed, and finally computational results show that the two risk measures can play a role in possibility space similar to Value-at-Risk and Conditional Value-at-Risk in probability space.
FUZZY RISK MEASURES AND ITS APPLICATION TO PORTFOLIO OPTIMIZATION
Ma, Xiaoxian,Zhao, Qingzhen,Liu, Fangai The Korean Society for Computational and Applied M 2009 Journal of applied mathematics & informatics Vol.27 No.3
In possibility framework, we propose two risk measures named Fuzzy Value-at-Risk and Fuzzy Conditional Value-at-Risk, based on Credibility measure. Two portfolio optimization models for fuzzy portfolio selection problems are formulated. Then a chaos genetic algorithm based on fuzzy simulation is designed, and finally computational results show that the two risk measures can play a role in possibility space similar to Value-at-Risk and Conditional Value-at-Risk in probability space.