| Title | 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 |
| 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. |
| Universidad Loyola members |
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