Fuzzy portfolio selection based on value-at-risk

Bo Wang*, Shuming Wang, Junzo Watada

*この研究の対応する著者

    研究成果: Conference contribution

    4 被引用数 (Scopus)

    抄録

    In this paper, using Value-at-Risk, a new fuzzy portfolio selection model named VaR-FPSM is proposed. The Value-at-Risk is the measure of risk, which describes the greatest loss of an investment with some confidence level. When security returns are same kind of fuzzy variable, we derive two crisp equivalent forms of the VaR-FPSM. Furthermore, in general situations, we designed a fuzzy simulation based particle swarm optimization (PSO) algorithm to find an approximately optimal result. To illustrate the proposed model and hybrid PSO algorithm, a numerical example is provided and some discussions on the results are given.

    本文言語English
    ホスト出版物のタイトルConference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
    ページ1840-1845
    ページ数6
    DOI
    出版ステータスPublished - 2009
    イベント2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009 - San Antonio, TX
    継続期間: 2009 10 112009 10 14

    Other

    Other2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
    CitySan Antonio, TX
    Period09/10/1109/10/14

    ASJC Scopus subject areas

    • 電子工学および電気工学
    • 制御およびシステム工学
    • 人間とコンピュータの相互作用

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