### 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 |

### Fingerprint

### Keywords

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

### ASJC Scopus subject areas

- Physics and Astronomy(all)

### Cite this

*AIP Conference Proceedings*(Vol. 1285, pp. 59-70) https://doi.org/10.1063/1.3510580

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

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

*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

}

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 -