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Abstract <p>The paper presents a method for managing risks associated with investment portfolios in situations of hybrid uncertainty. The weakest t-norm is used to aggregate possibilistic information. This necessitated the development and generalization of the calculus of fuzzy random variables, particularly the first and second moments of their weighted sum, which represents the return on an investment portfolio. Formulas for calculating the expected return and risk of a portfolio for a class of uniformly distributed factors are specified. Along with the results previously produced for the strongest t-norm, this allows for more flexible management of uncertainty in forming an investment portfolio.</p>

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Investment Portfolio Risk Assessment and Management under Hybrid Uncertainty

  • 期刊论文

  • 发表日期：

    2025年12月1日

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  • Ilia Sergeevich Soldatenko,
  • Alexander Vasilyevich Yazenin

摘要

Abstract

The paper presents a method for managing risks associated with investment portfolios in situations of hybrid uncertainty. The weakest t-norm is used to aggregate possibilistic information. This necessitated the development and generalization of the calculus of fuzzy random variables, particularly the first and second moments of their weighted sum, which represents the return on an investment portfolio. Formulas for calculating the expected return and risk of a portfolio for a class of uniformly distributed factors are specified. Along with the results previously produced for the strongest t-norm, this allows for more flexible management of uncertainty in forming an investment portfolio.