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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

JCR Quartile

SJR Quartile

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.