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 | AIP Conference Proceedings |
| Pages | 59-70 |
| Number of pages | 12 |
| Volume | 1285 |
| DOIs | |
| Publication status | Published - 2010 |
| Externally published | Yes |
| Event | International MultiConference of Engineers and Computer Scientists, IMECS 2010 - Hong Kong, China Duration: 2010 Mar 17 → 2010 Mar 19 |
Other
| Other | International MultiConference of Engineers and Computer Scientists, IMECS 2010 |
|---|---|
| Country | China |
| City | Hong Kong |
| Period | 10/3/17 → 10/3/19 |
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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 proceeding › Conference contribution
}
TY - GEN
T1 - Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model
AU - Hasuike, Takashi
AU - Katagiri, Hideki
PY - 2010
Y1 - 2010
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
SN - 9780735408395
VL - 1285
SP - 59
EP - 70
BT - AIP Conference Proceedings
ER -