A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value

Takashi Hasuike, Hiroaki Ishii

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

9 Citations (Scopus)

Abstract

This paper considers a portfolio selection problem with type-2 fuzzy future returns involving ambiguous and subjectivity. Since this proposed problem is not well-defined due to fuzziness, introducing the fuzzy goal for the total future return and the degree of possibility, the main problem is transformed into the standard fuzzy programming problem including the secondary fuzzy numbers. Furthermore, using the hybrid solution approaches based on the linearity of the deterministic equivalent problem and the crisp possibilistic mean value, the efficient solution is constructed.

Original languageEnglish
Title of host publication2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings
Pages1120-1125
Number of pages6
Publication statusPublished - 2009 Dec 1
Externally publishedYes
EventJoint 2009 International Fuzzy Systems Association World Congress, IFSA 2009 and 2009 European Society of Fuzzy Logic and Technology Conference, EUSFLAT 2009 - Lisbon, Portugal
Duration: 2009 Jul 202009 Jul 24

Publication series

Name2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings

Other

OtherJoint 2009 International Fuzzy Systems Association World Congress, IFSA 2009 and 2009 European Society of Fuzzy Logic and Technology Conference, EUSFLAT 2009
CountryPortugal
CityLisbon
Period09/7/2009/7/24

Keywords

  • Crisp possibilistic mean value
  • Efficient solution method
  • Portfolio selection
  • Possibility measure
  • Type-2 fuzzy

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Information Systems

Cite this

Hasuike, T., & Ishii, H. (2009). A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value. In 2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings (pp. 1120-1125). (2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings).