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

Takashi Hasuike; Hiroaki Ishii

doi:10.1109/FUZZY.2009.5277134

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

Takashi Hasuike^*, Hiroaki Ishii

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

8 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 language	English
Title of host publication	2009 IEEE International Conference on Fuzzy Systems - Proceedings
Pages	267-272
Number of pages	6
DOIs	https://doi.org/10.1109/FUZZY.2009.5277134
Publication status	Published - 2009 Dec 10
Externally published	Yes
Event	2009 IEEE International Conference on Fuzzy Systems - Jeju Island, Korea, Republic of Duration: 2009 Aug 20 → 2009 Aug 24

Publication series

Name	IEEE International Conference on Fuzzy Systems
ISSN (Print)	1098-7584

Other

Other	2009 IEEE International Conference on Fuzzy Systems
Country/Territory	Korea, Republic of
City	Jeju Island
Period	09/8/20 → 09/8/24

ASJC Scopus subject areas

Software
Theoretical Computer Science
Artificial Intelligence
Applied Mathematics

Access to Document

10.1109/FUZZY.2009.5277134

Cite this

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

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

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Hasuike, T & Ishii, H 2009, A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming. in 2009 IEEE International Conference on Fuzzy Systems - Proceedings., 5277134, IEEE International Conference on Fuzzy Systems, 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

@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",

month = dec,

day = "10",

doi = "10.1109/FUZZY.2009.5277134",

language = "English",

isbn = "9781424435975",

series = "IEEE International Conference on Fuzzy Systems",

pages = "267--272",

booktitle = "2009 IEEE International Conference on Fuzzy Systems - Proceedings",

note = "2009 IEEE International Conference on Fuzzy Systems ; Conference date: 20-08-2009 Through 24-08-2009",

}

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 - 2009/12/10

Y1 - 2009/12/10

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

T3 - IEEE International Conference on Fuzzy Systems

SP - 267

EP - 272

BT - 2009 IEEE International Conference on Fuzzy Systems - Proceedings

T2 - 2009 IEEE International Conference on Fuzzy Systems

Y2 - 20 August 2009 through 24 August 2009

ER -

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

Abstract

Publication series

Other

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this