Analysis of expected utility maximization on securities with fuzzy valued payoffs
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    Abstract:

    The problem of maximizing the expected utility is analyzed in a market,where assets are modeled by their fuzzy valued payoffs.The weighted expected utility model is used for analysis and discussion.A concept of arbitrage in fuzzy sense is proposed.It is proved that the optimal portfolio exists if and only if the market has no arbitrage in fuzzy sense.Properties on the optimal portfolio are discussed,among which current prices of assets can be expressed by the optimal portfolio.

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YOU Surong, XU Jing. Analysis of expected utility maximization on securities with fuzzy valued payoffs[J]. Journal of Nanjing University of Information Science & Technology,2016,8(6):560-565

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  • Received:January 31,2016
  • Online: December 14,2016
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