TY - GEN
T1 - Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model
AU - Hasuike, Takashi
AU - Katagiri, Hideki
PY - 2010/12/13
Y1 - 2010/12/13
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
AN - SCOPUS:78649820219
SN - 9780735408395
T3 - AIP Conference Proceedings
SP - 59
EP - 70
BT - IAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010
T2 - International MultiConference of Engineers and Computer Scientists, IMECS 2010
Y2 - 17 March 2010 through 19 March 2010
ER -