A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming

Takashi Hasuike, Hiroaki Ishii

Research output: Chapter in Book/Report/Conference proceedingConference contribution

5 Citations (Scopus)

Abstract

This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this proposed problem is not well-defined due to primary and secondary fuzziness, introducing the possibility measure that the total return is more than the target value, the main problem is transformed into the type-1 fuzzy programming problem with the interval value. Furthermore, using the hybrid solution approach based on the linearity of the deterministic equivalent problem and the interval programming problem, the efficient solution is constructed. In order to compare the proposed model with previous standard models, a numerical example derived from the current stock market is provided.

Original languageEnglish
Title of host publicationIEEE International Conference on Fuzzy Systems
Pages267-272
Number of pages6
DOIs
Publication statusPublished - 2009
Externally publishedYes
Event2009 IEEE International Conference on Fuzzy Systems - Jeju Island, Korea, Republic of
Duration: 2009 Aug 202009 Aug 24

Other

Other2009 IEEE International Conference on Fuzzy Systems
CountryKorea, Republic of
CityJeju Island
Period09/8/2009/8/24

Fingerprint

Possibility Measure
Portfolio Selection
Programming
Interval
Interval number
Fuzzy Programming
Fuzziness
Stock Market
Efficient Solution
Linearity
Well-defined
Standard Model
Numerical Examples
Target
Financial markets

ASJC Scopus subject areas

  • Software
  • Artificial Intelligence
  • Applied Mathematics
  • Theoretical Computer Science

Cite this

A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming. / Hasuike, Takashi; Ishii, Hiroaki.

IEEE International Conference on Fuzzy Systems. 2009. p. 267-272 5277134.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Hasuike, T & Ishii, H 2009, A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming. in IEEE International Conference on Fuzzy Systems., 5277134, pp. 267-272, 2009 IEEE International Conference on Fuzzy Systems, Jeju Island, Korea, Republic of, 09/8/20. https://doi.org/10.1109/FUZZY.2009.5277134
Hasuike, Takashi ; Ishii, Hiroaki. / A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming. IEEE International Conference on Fuzzy Systems. 2009. pp. 267-272
@inproceedings{10bad7f22c114448af2b51639691c847,
title = "A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming",
abstract = "This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this proposed problem is not well-defined due to primary and secondary fuzziness, introducing the possibility measure that the total return is more than the target value, the main problem is transformed into the type-1 fuzzy programming problem with the interval value. Furthermore, using the hybrid solution approach based on the linearity of the deterministic equivalent problem and the interval programming problem, the efficient solution is constructed. In order to compare the proposed model with previous standard models, a numerical example derived from the current stock market is provided.",
author = "Takashi Hasuike and Hiroaki Ishii",
year = "2009",
doi = "10.1109/FUZZY.2009.5277134",
language = "English",
isbn = "9781424435975",
pages = "267--272",
booktitle = "IEEE International Conference on Fuzzy Systems",

}

TY - GEN

T1 - A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming

AU - Hasuike, Takashi

AU - Ishii, Hiroaki

PY - 2009

Y1 - 2009

N2 - This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this proposed problem is not well-defined due to primary and secondary fuzziness, introducing the possibility measure that the total return is more than the target value, the main problem is transformed into the type-1 fuzzy programming problem with the interval value. Furthermore, using the hybrid solution approach based on the linearity of the deterministic equivalent problem and the interval programming problem, the efficient solution is constructed. In order to compare the proposed model with previous standard models, a numerical example derived from the current stock market is provided.

AB - This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this proposed problem is not well-defined due to primary and secondary fuzziness, introducing the possibility measure that the total return is more than the target value, the main problem is transformed into the type-1 fuzzy programming problem with the interval value. Furthermore, using the hybrid solution approach based on the linearity of the deterministic equivalent problem and the interval programming problem, the efficient solution is constructed. In order to compare the proposed model with previous standard models, a numerical example derived from the current stock market is provided.

UR - http://www.scopus.com/inward/record.url?scp=71249133241&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=71249133241&partnerID=8YFLogxK

U2 - 10.1109/FUZZY.2009.5277134

DO - 10.1109/FUZZY.2009.5277134

M3 - Conference contribution

AN - SCOPUS:71249133241

SN - 9781424435975

SP - 267

EP - 272

BT - IEEE International Conference on Fuzzy Systems

ER -