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

6 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 publication2009 IEEE International Conference on Fuzzy Systems - Proceedings
Pages267-272
Number of pages6
DOIs
Publication statusPublished - 2009 Dec 10
Event2009 IEEE International Conference on Fuzzy Systems - Jeju Island, Korea, Republic of
Duration: 2009 Aug 202009 Aug 24

Publication series

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

Other

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

ASJC Scopus subject areas

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

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    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 (pp. 267-272). [5277134] (IEEE International Conference on Fuzzy Systems). https://doi.org/10.1109/FUZZY.2009.5277134