Fuzzy dynamic programming solution of the asset allocation problem

Fuzzy dynamic programming solution of the asset allocation problem

An asset allocation problem is studied where the asset classes in the investment portfolio are already selected and the profit from each assets class varies within a known range. The problem is solved using fuzzy dynamic programming. An illustrative example is included.

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Gatev, G.I., Vladov, G.V.
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Arithmetic
Asset management
Bonding
Constraint optimization
Dynamic programming
Economic indicators
Fuzzy sets
Investments
Portfolios
Uncertainty
Online-Zugang:Volltext bestellen
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:An asset allocation problem is studied where the asset classes in the investment portfolio are already selected and the profit from each assets class varies within a known range. The problem is solved using fuzzy dynamic programming. An illustrative example is included.
DOI:10.1109/IS.2002.1042577