Portfolio Selection Optimization with Hierarchical Fuzzy Conditional Value-at-Risk
نویسندگان
چکیده
Quantitative risk management (QRM, for short) is very important investors or financial institutions. This paper discusses portfolio selection in fuzzy environments by means of stochastic and methods. Two measures called hierarchical value-at-risk (HFVaR, conditional (HFCVaR, are proposed. And then models established based on the measure HFCVaR.
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ژورنال
عنوان ژورنال: Frontiers in artificial intelligence and applications
سال: 2022
ISSN: ['1879-8314', '0922-6389']
DOI: https://doi.org/10.3233/faia220388