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

Takashi Hasuike; Hideki Katagiri

doi:10.1063/1.3510580

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

Takashi Hasuike^*, Hideki Katagiri

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English
Title of host publication	IAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010
Pages	59-70
Number of pages	12
DOIs	https://doi.org/10.1063/1.3510580
Publication status	Published - 2010 Dec 13
Externally published	Yes
Event	International MultiConference of Engineers and Computer Scientists, IMECS 2010 - Hong Kong, China Duration: 2010 Mar 17 → 2010 Mar 19

Publication series

Name	AIP Conference Proceedings
Volume	1285
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Other

Other	International MultiConference of Engineers and Computer Scientists, IMECS 2010
Country/Territory	China
City	Hong Kong
Period	10/3/17 → 10/3/19

Keywords

Analytical solution method
Portfolio selection problem
Random fuzzy programming
Sensitivity analysis

ASJC Scopus subject areas

Physics and Astronomy(all)

Access to Document

10.1063/1.3510580

Cite this

Hasuike, T., & Katagiri, H. (2010). Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model. In IAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010 (pp. 59-70). (AIP Conference Proceedings; Vol. 1285). https://doi.org/10.1063/1.3510580

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

IAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010. 2010. p. 59-70 (AIP Conference Proceedings; Vol. 1285).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Hasuike, T & Katagiri, H 2010, Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model. in IAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010. 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

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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.

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

Abstract

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Keywords

ASJC Scopus subject areas

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