Fuzzy Portfolio Allocation Models Through a New Risk Measure and Fuzzy Sharpe Ratio
IEEE Transactions on Fuzzy Systems(2015)
摘要
A new portfolio risk measure that is the uncertainty of portfolio fuzzy return is introduced in this paper. Beyond the well-known Sharpe ratio (i.e., the reward-to-variability ratio) in modern portfolio theory, we initiate the so-called fuzzy Sharpe ratio in the fuzzy modeling context. In addition to the introduction of the new risk measure, we also put forward the reward-to-uncertainty ratio to a...
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关键词
Portfolios,Random variables,Uncertainty,Optimization,Biological system modeling,Measurement uncertainty,Genetic algorithms
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