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Capital Allocation by Possibilistic Linear Programming Approach
acknowledged 463 1. Models Consider N asset classes, S~, $2 ...... SN. the problem is to determine allocation ... portfolio is N ,~' ?,' ~ ~ ~ ;~~~'112~ ~ (~ t~u ¢ ] t-] g [ Allocation weights-t l, -~e . . .- Authors: Lijia Guo, Zhen Huang
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments
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Risk Classification by Fuzzy Cluster
similarity s~/ between the pair of risks v i and vj, and obtain an n x n similarity matrix S <°) = [s~. °)] ... a~j v s As for k>l , to obtain a sequence of fuzzy matrices S '°), S 0), S <2) . . . . . S t.' ...- Authors: Zhen Huang, Zengxiang Tong
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments