| Título | Combining Probabilistic and Possibilistic Aspects of Background Risk |
|---|---|
| Autores | Georgescu, Irina |
| Publicación externa | No |
| Medio | International Symposium On Computational Intelligence And Informatics |
| Alcance | Proceedings Paper |
| Naturaleza | Científica |
| Fecha de publicacion | 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. |
| Miembros de la Universidad Loyola |
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