Title Combining Probabilistic and Possibilistic Aspects of Background Risk
Authors Georgescu, Irina
External publication No
Means International Symposium On Computational Intelligence And Informatics
Scope Proceedings Paper
Nature Científica
Publication date 01/01/2012
ISI 000319991600038
Abstract Investment models with background risk are usually treated by probability theory. In this paper two mixed models are studied: the investment risk is a fuzzy number (a random variable, respectively) and the background risk is a random variable (a fuzzy number, respectively). Optimization problems are formulated, the existence and computation of optimal solutions and the way they are influenced by the investor\'s risk aversion are studied.
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