### 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 |
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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 | |

Publication status | Published - 2010 Dec 13 |

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 |
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Volume | 1285 |

ISSN (Print) | 0094-243X |

ISSN (Electronic) | 1551-7616 |

### Other

Other | International MultiConference of Engineers and Computer Scientists, IMECS 2010 |
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Country | China |

City | Hong Kong |

Period | 10/3/17 → 10/3/19 |

### Fingerprint

### Keywords

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

### ASJC Scopus subject areas

- Physics and Astronomy(all)

### Cite this

*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