Abstract

This paper discusses a risk-sensitive portfolio problem, where the objective function is defined by randomness and fuzziness, and it introduces the perception-based extension of the expectation and the variance for fuzzy random variables. Fuzzy random variables are estimated by mean and variance with λ-mean functions and evaluation weights: A possibility-necessity weight ν for subjective estimation, and a pessimistic-optimistic index λ for subjective decision. A solution of the risk-sensitive portfolio problem is derived by quadratic programming approach.KeywordsFuzzy NumberSharpe RatioFuzzy MeasureEvaluation WeightFuzzy Random VariableThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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