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

Takashi Hasuike, Hideki Katagiri

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

Abstract

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.

Original languageEnglish
Title of host publicationAIP Conference Proceedings
Pages59-70
Number of pages12
Volume1285
DOIs
Publication statusPublished - 2010
Externally publishedYes
EventInternational MultiConference of Engineers and Computer Scientists, IMECS 2010 - Hong Kong, China
Duration: 2010 Mar 172010 Mar 19

Other

OtherInternational MultiConference of Engineers and Computer Scientists, IMECS 2010
CountryChina
CityHong Kong
Period10/3/1710/3/19

Fingerprint

sensitivity analysis
programming
sensitivity

Keywords

  • Analytical solution method
  • Portfolio selection problem
  • Random fuzzy programming
  • Sensitivity analysis

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model. / Hasuike, Takashi; Katagiri, Hideki.

AIP Conference Proceedings. Vol. 1285 2010. p. 59-70.

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

Hasuike, T & Katagiri, H 2010, Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model. in AIP Conference Proceedings. vol. 1285, pp. 59-70, International MultiConference of Engineers and Computer Scientists, IMECS 2010, Hong Kong, China, 10/3/17. https://doi.org/10.1063/1.3510580
Hasuike, Takashi ; Katagiri, Hideki. / Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model. AIP Conference Proceedings. Vol. 1285 2010. pp. 59-70
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