Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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FUZZY RISK MEASURES AND ITS APPLICATION TO PORTFOLIO OPTIMIZATION

  • Ma, Xiaoxian (School of Banking and Finance, Shandong University of Finance, School of Management and Economics, Shandong Normal University) ;
  • Zhao, Qingzhen (School of Management and Economics, Shandong Normal University) ;
  • Liu, Fangai (School of Information Science and Engineering, Shandong Normal University)
  • Published : 2009.05.31
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Abstract

In possibility framework, we propose two risk measures named Fuzzy Value-at-Risk and Fuzzy Conditional Value-at-Risk, based on Credibility measure. Two portfolio optimization models for fuzzy portfolio selection problems are formulated. Then a chaos genetic algorithm based on fuzzy simulation is designed, and finally computational results show that the two risk measures can play a role in possibility space similar to Value-at-Risk and Conditional Value-at-Risk in probability space.

Keywords

References

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