A robust portfolio selection problem based on a confidence interval with investor's subjectiviety

Takashi Hasuike, Hideki Katagiri

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

Abstract

This paper considers a robust portfolio selection problem considering a confidence interval with subjectivity to the weight for the standard deviation. Since the proposed model is formulated as an ill-defined problem due to fuzziness and bi-object derived from maximizing both robustness and investor's satisfaction level to the total profit, it is hard to solve it directly. Therefore, introducing fuzzy goals for the bi-objective functions, the proposed model is transformed into the deterministic equivalent problem. Furthermore, in order to obtain the exact optimal portfolio analytically, the solution method is developed introducing a parameter and doing the equivalent transformations.

Original languageEnglish
Title of host publicationIEEE International Conference on Fuzzy Systems
Pages531-536
Number of pages6
DOIs
Publication statusPublished - 2011
Externally publishedYes
Event2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011 - Taipei, Taiwan, Province of China
Duration: 2011 Jun 272011 Jun 30

Other

Other2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011
CountryTaiwan, Province of China
CityTaipei
Period11/6/2711/6/30

Fingerprint

Portfolio Selection
Confidence interval
Fuzzy Goals
Profitability
Optimal Portfolio
Fuzziness
Standard deviation
Profit
Objective function
Robustness
Model

Keywords

  • component
  • confidential interval
  • fuzzy goal
  • portfolio selection problem
  • robust programming

ASJC Scopus subject areas

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

Cite this

Hasuike, T., & Katagiri, H. (2011). A robust portfolio selection problem based on a confidence interval with investor's subjectiviety. In IEEE International Conference on Fuzzy Systems (pp. 531-536). [6007371] https://doi.org/10.1109/FUZZY.2011.6007371

A robust portfolio selection problem based on a confidence interval with investor's subjectiviety. / Hasuike, Takashi; Katagiri, Hideki.

IEEE International Conference on Fuzzy Systems. 2011. p. 531-536 6007371.

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

Hasuike, T & Katagiri, H 2011, A robust portfolio selection problem based on a confidence interval with investor's subjectiviety. in IEEE International Conference on Fuzzy Systems., 6007371, pp. 531-536, 2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011, Taipei, Taiwan, Province of China, 11/6/27. https://doi.org/10.1109/FUZZY.2011.6007371
Hasuike, Takashi ; Katagiri, Hideki. / A robust portfolio selection problem based on a confidence interval with investor's subjectiviety. IEEE International Conference on Fuzzy Systems. 2011. pp. 531-536
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