A Portfolio Choice Problem in the Framework of Expected Utility Operators
| Autor: | Louis Aimé Fono, Irina Georgescu |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Optimization problem
expected utility operators Computer science General Mathematics Context (language use) 02 engineering and technology FOS: Economics and business Operator (computer programming) Portfolio Management (q-fin.PM) 0502 economics and business 0202 electrical engineering electronic engineering information engineering Computer Science (miscellaneous) Fuzzy number Engineering (miscellaneous) Quantitative Finance - Portfolio Management Expected utility hypothesis 050208 finance lcsh:Mathematics 05 social sciences Risk aversion (psychology) lcsh:QA1-939 possibilistic moments portfolio choice problem Moment (mathematics) Portfolio 020201 artificial intelligence & image processing Mathematical economics |
| Zdroj: | Mathematics, Vol 7, Iss 8, p 669 (2019) Mathematics; Volume 7; Issue 8; Pages: 669 |
| ISSN: | 2227-7390 |
| DOI: | 10.3390/math7080669 |
| Popis: | Possibilistic risk theory starts from the hypothesis that risk is modeled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy number. The expected utility operators have been introduced in a previous paper to build an abstract theory of possibilistic risk aversion. To each expected utility operator, one can associate the notion of possibilistic expected utility. Using this notion, we will formulate in this very general context a possibilistic portfolio choice problem. The main results of the paper are two approximate calculation formulas for the corresponding optimization problem. The first formula approximates the optimal allocation with respect to risk aversion and investor’s prudence, as well as the first three possibilistic moments. Besides these parameters, in the second formula, the temperance index of the utility function and the fourth possibilistic moment appear. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
| Nepřihlášeným uživatelům se plný text nezobrazuje | K zobrazení výsledku je třeba se přihlásit. |