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

Takashi Hasuike, Hideki Katagiri

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 languageEnglish
Title of host publicationIAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010
Pages59-70
Number of pages12
DOIs
Publication statusPublished - 2010 Dec 13
Externally publishedYes
EventInternational MultiConference of Engineers and Computer Scientists, IMECS 2010 - Hong Kong, China
Duration: 2010 Mar 17 → 2010 Mar 19

Publication series

NameAIP Conference Proceedings
Volume1285
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Other

OtherInternational MultiConference of Engineers and Computer Scientists, IMECS 2010
CountryChina
CityHong Kong
Period10/3/17 → 10/3/19

Keywords

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

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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