A Risk-Sensitive Portfolio with Mean and Variance of Fuzzy Random Variables

Authors:
Yuji Yoshida
Affiliations:
Faculty of Economics and Business Administration, University of Kitakyushu, Kitakyushu, Japan 802-8577
Venue:
ICIC '08 Proceedings of the 4th international conference on Intelligent Computing: Advanced Intelligent Computing Theories and Applications - with Aspects of Artificial Intelligence
Year:
2008

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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 茂戮驴-mean functions and evaluation weights: A possibility-necessity weight 茂戮驴for subjective estimation, and a pessimistic-optimistic index 茂戮驴for subjective decision. A solution of the risk-sensitive portfolio problem is derived by quadratic programming approach.