A new perspective for optimal portfolio selection with random fuzzy returns
Information Sciences: an International Journal
Asset portfolio optimization using fuzzy mathematical programming
Information Sciences: an International Journal
A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality
Information Sciences: an International Journal
A hybrid approach for constructing suitable and optimal portfolios
Expert Systems with Applications: An International Journal
Solving portfolio optimization problem based on extension principle
IEA/AIE'10 Proceedings of the 23rd international conference on Industrial engineering and other applications of applied intelligent systems - Volume Part I
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This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor's behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedging demand arises that is affected by both ambiguity and anticipation. Finally, the optimal portfolio is derived in terms of Malliavin derivatives and stochastic integrals.