Multiobjective random fuzzy portfolio selection problems based on CAPM

Takashi Hasuike, Hideki Katagiri, Hiroaki Ishii

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

Abstract

Many researchers have proposed portfolio models based on the stochastic and fuzzy approaches until now, and there are some models considering both random and ambiguous conditions, particularly using fuzzy random or random fuzzy variables. However, few studies with multiobjective random fuzzy models for the portfolio selection problems have been performed. Therefore, a multiobjective random fuzzy portfolio selection problem based on CAPM, which is one of the most standard factor models, is proposed. In the sense of mathematical programming, our proposed problems are not well-defined problems due to randomness and fuzziness. Therefore, setting some criterions and introducing chance constrains, main problems are transformed into deterministic programming problems. Finally, we construct a solution method to obtain a global optimal solution of the problem.

Original languageEnglish
Title of host publicationProceedings 2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
Pages1316-1321
Number of pages6
DOIs
Publication statusPublished - 2009 Dec 1
Externally publishedYes
Event2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009 - San Antonio, TX, United States
Duration: 2009 Oct 112009 Oct 14

Publication series

NameConference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
ISSN (Print)1062-922X

Other

Other2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
CountryUnited States
CitySan Antonio, TX
Period09/10/1109/10/14

Keywords

  • CAPM
  • Deterministic equivalent transformation
  • Portfolio selection
  • Random fuzzy programming

ASJC Scopus subject areas

  • Electrical and Electronic Engineering
  • Control and Systems Engineering
  • Human-Computer Interaction

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  • Cite this

    Hasuike, T., Katagiri, H., & Ishii, H. (2009). Multiobjective random fuzzy portfolio selection problems based on CAPM. In Proceedings 2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009 (pp. 1316-1321). [5346239] (Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics). https://doi.org/10.1109/ICSMC.2009.5346239