A Risk-Sensitive Portfolio with Mean and Variance of Fuzzy Random Variables

This paper discusses a risk-sensitive portfolio problem, where the objective function is defined by randomness and fuzziness, and it introduces the perception-based extension of the expectation and the variance for fuzzy random variables. Fuzzy random variables are estimated by mean and variance with i¾?-mean functions and evaluation weights: A possibility-necessity weight i¾?for subjective estimation, and a pessimistic-optimistic index i¾?for subjective decision. A solution of the risk-sensitive portfolio problem is derived by quadratic programming approach.

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