Portfolio Selection Optimization with Hierarchical Fuzzy Conditional Value-at-Risk

Abstract

Quantitative risk management (QRM, for short) is very important for investors or financial institutions. This paper discusses portfolio selection in fuzzy environments by means of stochastic and fuzzy methods. Two risk measures called hierarchical fuzzy value-at-risk (HFVaR, for short) and hierarchical fuzzy conditional value-at-risk (HFCVaR, for short) are proposed. And then fuzzy portfolio selection models are established based on the risk measure HFCVaR.