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Mathematics 2018, 6(8), 133;

The Effect of Prudence on the Optimal Allocation in Possibilistic and Mixed Models

Academy of Economic Studies, Department of Economic Cybernetics, Piata Romana No 6 R 70167, Oficiul Postal 22, 010374 Bucharest, Romania
Received: 30 May 2018 / Revised: 12 July 2018 / Accepted: 24 July 2018 / Published: 2 August 2018
(This article belongs to the Special Issue Fuzzy Mathematics)
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In this paper, several portfolio choice models are studied: a purely possibilistic model in which the return of the risky is a fuzzy number, and four models in which the background risk appears in addition to the investment risk. In these four models, risk is a bidimensional vector whose components are random variables or fuzzy numbers. Approximate formulas of the optimal allocation are obtained for all models, expressed in terms of some probabilistic or possibilistic moments, depending on the indicators of the investor preferences (risk aversion, prudence). View Full-Text
Keywords: prudence; optimal allocation; possibilistic moments prudence; optimal allocation; possibilistic moments
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Georgescu, I. The Effect of Prudence on the Optimal Allocation in Possibilistic and Mixed Models. Mathematics 2018, 6, 133.

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