Portfolio optimization in fuzzy asset management with coherent risk measures derived from risk averse utility
Y Yoshida - Neural Computing and Applications, 2020 - Springer
A portfolio optimization problem with fuzzy random variables is discussed using coherent
risk measures, which are characterized by weighted average value-at-risks with risk spectra …
risk measures, which are characterized by weighted average value-at-risks with risk spectra …
Dynamic risk-sensitive fuzzy asset management with coherent risk measures derived from decision maker's utility
Y Yoshida - Granular Computing, 2021 - Springer
A dynamic risk-sensitive portfolio optimization problem under risk constraints is discussed by
the use of coherent risk measures and fuzzy random variables. Risk-sensitive expected …
the use of coherent risk measures and fuzzy random variables. Risk-sensitive expected …
Optimization of risk and return using fuzzy Multiobjective linear programming
Stock selection poses a challenge for both the investor and the finance researcher. In this
paper, a hybrid approach is proposed for asset allocation, offering a combination of several …
paper, a hybrid approach is proposed for asset allocation, offering a combination of several …
Portfolio optimization with perception-based risk measures in dynamic fuzzy asset management
Y Yoshida - Granular Computing, 2019 - Springer
In asset management with uncertainty, a dynamic portfolio allocation problem to minimize
the average rates of falling is discussed. Introducing coherent risk measures and average …
the average rates of falling is discussed. Introducing coherent risk measures and average …
Portfolio optimization: An overview of integrated approaches and mathematical programing techniques
Selection of stocks is a challenging task for investors and finance researchers because of
the uncertainty of the return. In portfolio selection, the aim is to obtain a proper proportion of …
the uncertainty of the return. In portfolio selection, the aim is to obtain a proper proportion of …
Return-Maximizing in Fuzzy Portfolio Processes under Average Value-at-Risk Constraints
Y Yoshida - 2018 7th International Conference on Reliability …, 2018 - ieeexplore.ieee.org
A portfolio optimization is argued over in dynamic fuzzy asset management, using fuzzy
random variables. Analytical solutions for a dynamic ret urn-maximizing problem under …
random variables. Analytical solutions for a dynamic ret urn-maximizing problem under …
[PDF][PDF] Research Article Optimization of Risk and Return Using Fuzzy Multiobjective Linear Programming
Stock selection poses a challenge for both the investor and the finance researcher. In this
paper, a hybrid approach is proposed for asset allocation, offering a combination of several …
paper, a hybrid approach is proposed for asset allocation, offering a combination of several …