Georgescu, Irina
No
International Symposium On Computational Intelligence And Informatics
Proceedings Paper
Científica
01/01/2012
000319991600038
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.