Conference Paper

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

DOI: 10.1007/11816157_111 Conference: Intelligent Computing, International Conference on Intelligent Computing, ICIC 2006, Kunming, China, August 16-19, 2006. Proceedings, Part I
Source: DBLP


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.

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    ABSTRACT: In this paper, we consider a multi-period consumption-investment problem with partially known information for an individual. We emphasize the fact that for an individual there is one and only one result will appear for his/her consumption-investment decision in each period. Different from the existing multi-period consumption-investment models which basically maximize the expected utility, we utilize the one-shot decision theory for individual multi-period consumption-investment problems. In each period, the individual chooses one state (scenario) for each strategy with considering the satisfaction of the outcome and its possibility. The selected state is called the focus point. The multi-period consumption-investment decision models with twelve types of focus points are built to maximize the sum of discounted consumption over the whole process (lifetime) for twelve types of individuals and economic insights are gained by the theoretical analysis. The proposed models are scenario-based decision models which provide a fundamental alternative to analyze individual multi-period consumption-investment behavior.
    Fuzzy Sets and Systems 09/2015; 274. DOI:10.1016/j.fss.2015.01.005 · 1.99 Impact Factor