Advertisement

Multi-objective Optimal Strategy for Individual Consumption-Investment with Fuzzy Coefficients

  • Jie Su
  • Xiucui Guan
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4113)

Abstract

The goal of this paper is to solve an optimal consumption-investment problem with fuzzy financial coefficients. A multi-objective fuzzy decision-making model for consumption-investment problem is proposed, based on the uncertainty in some economic factors, to maximize the consumption utility and to maximize the total profit in investment and to minimize the risk in investment. The fuzzy optimal consumption-investment strategy is characterized by maximizing the satisfactory grade of the decision-maker. Finally an effective algorithm is proposed to solve the problem and a numerical example shows the effectiveness and feasibility of this method.

Keywords

Fuzzy Number Portfolio Selection Membership Grade Investment Risk Complete Market 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Brennan, M.J., Xia, Y.: Dynamic Asset Allocation under Inflation. Journal of Finance 57, 1201–1238 (2002)CrossRefGoogle Scholar
  2. 2.
    Castaneda-Leyva, N., Hernandez-Hernandez, D.: Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients. SIAM Journal on Control and Optimization 44, 1322–1344 (2005)zbMATHCrossRefMathSciNetGoogle Scholar
  3. 3.
    Lai, Y.J., Hwang, C.L.: Fuzzy Mathematical Programming. Springer, Heidelberg (1992)zbMATHGoogle Scholar
  4. 4.
    Munk, C., Sørensen, C.: Optimal Consumption and Investment Strategies with Stochastic Interest Rates. Journal of Banking and Finance 28, 1987–2013 (2004)CrossRefGoogle Scholar
  5. 5.
    Tanaka, H., Peijun, G., Trksen, I.B.: Portfolio Selection Based on Fuzzy Probabilities and Possibility Distributions. Fuzzy Sets and Systems 111, 387–397 (2000)zbMATHCrossRefMathSciNetGoogle Scholar
  6. 6.
    Tanaka, H., Ishibuchi, H., Yoshikawa, S.: Exponential Possibility Regression Analysis. Fuzzy Sets and Systems 69, 305–318 (1995)zbMATHCrossRefMathSciNetGoogle Scholar
  7. 7.
    Zeng, J.H., Wang, S.Y.: A Model for Portfolio Selection Based on Fuzzy Decision-Making Theory. Systems Engineering-theory & Practice 1, 99–104 (2003)Google Scholar
  8. 8.
    Zeng, Q.N.: All-Coefficient-Fuzzy Linear Programming with Equations. System Engineering Theory and Practice 9, 105–109 (2000)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Jie Su
    • 1
    • 2
  • Xiucui Guan
    • 3
  1. 1.School of BusinessRenmin University of ChinaBeijingChina
  2. 2.School of Math. and Sys. Sci.Shandong UniversityJinanChina
  3. 3.Department of MathematicsSoutheast UniversityNanjingChina

Personalised recommendations