Related papers: Possibilistic investment models with background ri…
In this paper two portfolio choice models are studied: a purely possibilistic model, in which the return of a risky asset is a fuzzy number, and a mixed model in which a probabilistic background risk is added. For the two models an…
Possibilistic risk theory starts from the hypothesis that risk is modelled 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…
The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value.…
In the paper there is studied an optimal saving model in which the interest-rate risk for saving is a fuzzy number. The total utility of consumption is defined by using a concept of possibilistic expected utility. A notion of possibilistic…
A classical portfolio theory deals with finding the optimal proportion in which an agent invests a wealth in a risk-free asset and a probabilistic risky asset. Formulating and solving the problem depend on how the risk is represented and…
In a recent paper [1] we introduced the Fuzzy Bayesian Learning (FBL) paradigm where expert opinions can be encoded in the form of fuzzy rule bases and the hyper-parameters of the fuzzy sets can be learned from data using a Bayesian…
In this paper the effect of posibilistic or mixed background risk on the level of optimal prevention is studied. In the framework of five purely possibilistic or mixed models, necessary and sufficient conditions are found such that the…
Each individual investor is different, with different financial goals, different levels of risk tolerance and different personal preferences. From the point of view of investment management, these characteristics are often defined as…
This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at…
This paper discusses a class of uncertain optimization problems, in which unknown parameters are modeled by fuzzy intervals. The membership functions of the fuzzy intervals are interpreted as possibility distributions for the values of the…
This paper mainly focuses on (1) a generalized treatment of fuzzy sets of type $n$, where $n$ is an integer larger than or equal to $1$, with an example, mathematical discussions, and real-life interpretation of the given mathematical…
Random fuzzy variables join the modeling of the impreciseness (due to their ``fuzzy part'') and randomness. Statistical samples of such objects are widely used, and their direct, numerically effective generation is therefore necessary.…
Risk specialists are trying to understand risk better and use complex models for risk assessment, while many risks are not yet well understood. The lack of empirical data and complex causal and outcome relationships make it difficult to…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic…
It is well known over the recent years that measuring the success of projects under the umbrella of project management is inextricably linked with the associated cost, time, and quality. Most of the previous researches in the field assigned…
We study optimal investment in an asset subject to risk of default for investors that rely on different levels of information. The price dynamics can include noises both from a Wiener process and a Poisson random measure with infinite…
In this paper, we examine the effect of background risk on portfolio selection and optimal reinsurance design under the criterion of maximizing the probability of reaching a goal. Following the literature, we adopt dependence uncertainty to…
Fuzzy data, prevalent in social sciences and other fields, capture uncertainties arising from subjective evaluations and measurement imprecision. Despite significant advancements in fuzzy statistics, a unified inferential regression-based…
Impact of chosen behavioural factors on imprecision of present value is discussed here. The formal model of behavioural present value is offered as a result of this discussion. Behavioural present value is described here by fuzzy set. These…