2018/12/08 by Irina Georgescu, Georgescu, Irina
Computer Science · Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Computational Engineering #FOS: Computer and information sciences #FOS: Economics and business #Finance #Fuzzy Systems and Optimization #General Finance (q-fin.GN) #Multi-Criteria Decision Making #Risk and Portfolio Optimization #and Science (cs.CE) #cs.CE #q-fin.GN
paper · pdf · doi:10.48550/arxiv.1901.10556
arxiv created 2018/12/08 · openalex publication_date 2018/12/08 · arxiv updated 2019/01/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In the study of investment problem, aside from the investment risk the background risk appears. Both the investment risk and the background risk are probabilistically described by random variables. This paper starts from the hypothesis that the two types of risk can be represented both probabilistically (by random variables) and possibilistically (by fuzzy numbers). We will study three models in which the investment risk and the background risk can be: fuzzy numbers, a random variabl-a fuzzy number and a fuzzy number-a random variable. A portfolio problem is formulated for each model and an approximate calculation formula of the optimal solution is proved.