A Dynamic Average Value-at-Risk Portfolio Model with Fuzzy Random Variables

DOI10.1007/978-3-319-47557-8_17zbMath1429.91298OpenAlexW2577248815MaRDI QIDQ5213749

Yuji Yoshida

Publication date: 4 February 2020

Published in: Fuzzy Sets, Rough Sets, Multisets and Clustering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-47557-8_17

zbMATH Keywords

fuzzy numberrisk probabilityoptimal portfolioasset priceevaluation weight

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Cites Work

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• Overview on the development of fuzzy random variables
• An estimation model of value-at-risk portfolio under uncertainty
• Statistics with vague data
• Fuzzy random variables - I. Definitions and theorems
• Ranking and defuzzification methods based on area compensation
• Fuzzy Extension of Estimations with Randomness: The Perception-Based Approach
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• A Perception-Based Portfolio Under Uncertainty: Minimization of Average Rates of Falling
• Fuzzy random variables

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