TY - GEN

T1 - Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model

AU - Hasuike, Takashi

AU - Katagiri, Hideki

PY - 2010/12/13

Y1 - 2010/12/13

N2 - This paper focuses on the proposition of a portfolio selection problem considering an investor's subjectivity and the sensitivity analysis for the change of subjectivity. Since this proposed problem is formulated as a random fuzzy programming problem due to both randomness and subjectivity presented by fuzzy numbers, it is not well-defined. Therefore, introducing Sharpe ratio which is one of important performance measures of portfolio models, the main problem is transformed into the standard fuzzy programming problem. Furthermore, using the sensitivity analysis for fuzziness, the analytical optimal portfolio with the sensitivity factor is obtained.

AB - This paper focuses on the proposition of a portfolio selection problem considering an investor's subjectivity and the sensitivity analysis for the change of subjectivity. Since this proposed problem is formulated as a random fuzzy programming problem due to both randomness and subjectivity presented by fuzzy numbers, it is not well-defined. Therefore, introducing Sharpe ratio which is one of important performance measures of portfolio models, the main problem is transformed into the standard fuzzy programming problem. Furthermore, using the sensitivity analysis for fuzziness, the analytical optimal portfolio with the sensitivity factor is obtained.

KW - Analytical solution method

KW - Portfolio selection problem

KW - Random fuzzy programming

KW - Sensitivity analysis

UR - http://www.scopus.com/inward/record.url?scp=78649820219&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=78649820219&partnerID=8YFLogxK

U2 - 10.1063/1.3510580

DO - 10.1063/1.3510580

M3 - Conference contribution

AN - SCOPUS:78649820219

SN - 9780735408395

T3 - AIP Conference Proceedings

SP - 59

EP - 70

BT - IAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010

T2 - International MultiConference of Engineers and Computer Scientists, IMECS 2010

Y2 - 17 March 2010 through 19 March 2010

ER -