英文标题：
《A portfolio choice problem in the framework of expected utility
operators》
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作者：
Irina Georgescu, Louis Aim\\\'e Fono
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最新提交年份：
2019
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英文摘要：
Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy number. The expected utility operators have been introduced in a previous paper to build an abstract theory of possibilistic risk aversion. To each expected utility operator one can associate a notion of possibilistic expected utility. Using this notion, we will formulate in this very general context a possibilistic choice problem. The main results of the paper are two approximate calculation formulas for corresponding optimization problem. The first formula approximates the optimal allocation with respect to risk aversion and investor\'s prudence, as well as the first three possibilistic moments. Besides these parameters, in the second formula the temperance index of the utility function and the fourth possibilistic moment appear.
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中文摘要：
可能性风险理论从风险由模糊数建模的假设出发。特别是，在可能性投资组合选择问题中，风险资产的回报率将是一个模糊数。在前一篇文章中引入了期望效用算子，以构建一个抽象的可能性风险厌恶理论。对于每一个期望效用算子，人们可以关联一个可能性期望效用的概念。利用这一概念，我们将在这一非常普遍的背景下提出一个可能性选择问题。本文的主要结果是相应优化问题的两个近似计算公式。第一个公式近似于风险规避和投资者谨慎性方面的最优配置，以及前三个可能性矩。除这些参数外，在第二个公式中还出现了效用函数的节制指数和第四个可能矩。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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