TY - CHAP

T1 - Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns

AU - Hasuike, Takashi

AU - Ishii, Hiroaki

PY - 2007/12/1

Y1 - 2007/12/1

N2 - In this paper, we propose the solution method about the multiobjective portfolio selection problem, particularly the scenario model to include the ambiguous factors and chance constraints. Generally, mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find its global optimal solution. In this paper, we manage to develop the efficient solution method to find its global optimal solution of such a problem introducing the some subproblems.

AB - In this paper, we propose the solution method about the multiobjective portfolio selection problem, particularly the scenario model to include the ambiguous factors and chance constraints. Generally, mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find its global optimal solution. In this paper, we manage to develop the efficient solution method to find its global optimal solution of such a problem introducing the some subproblems.

KW - Chance constraint

KW - Portfolio selection problem

KW - Possibility and Necessity measure

KW - Scenario model

UR - http://www.scopus.com/inward/record.url?scp=58149233750&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=58149233750&partnerID=8YFLogxK

U2 - 10.1007/978-3-540-72434-6_32

DO - 10.1007/978-3-540-72434-6_32

M3 - Chapter

AN - SCOPUS:58149233750

SN - 9783540724339

T3 - Advances in Soft Computing

SP - 314

EP - 323

BT - Theoretical Advances and Applications of Fuzzy Logic and Soft Computing

A2 - Castillo, Oscar

A2 - Melin, Patricia

A2 - Ross, Oscar Montiel

A2 - Cruz, Roberto Sepulveda

A2 - Pedrycz, Witold

A2 - Kacprzyk, Janusz

ER -