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

Takashi Hasuike, Hiroaki Ishii

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Title of host publicationAdvances in Soft Computing
Pages314-323
Number of pages10
Volume42
DOIs
Publication statusPublished - 2007
Externally publishedYes

Publication series

NameAdvances in Soft Computing
Volume42
ISSN (Print)16153871
ISSN (Electronic)18600794

Fingerprint

Stochastic programming
Mathematical programming

Keywords

  • Chance constraint
  • Portfolio selection problem
  • Possibility and Necessity measure
  • Scenario model

ASJC Scopus subject areas

  • Computational Mechanics
  • Computer Science Applications
  • Computer Science (miscellaneous)

Cite this

Hasuike, T., & Ishii, H. (2007). Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns. In Advances in Soft Computing (Vol. 42, pp. 314-323). (Advances in Soft Computing; Vol. 42). https://doi.org/10.1007/978-3-540-72434-6_32

Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns. / Hasuike, Takashi; Ishii, Hiroaki.

Advances in Soft Computing. Vol. 42 2007. p. 314-323 (Advances in Soft Computing; Vol. 42).

Research output: Chapter in Book/Report/Conference proceedingChapter

Hasuike, T & Ishii, H 2007, Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns. in Advances in Soft Computing. vol. 42, Advances in Soft Computing, vol. 42, pp. 314-323. https://doi.org/10.1007/978-3-540-72434-6_32
Hasuike, Takashi ; Ishii, Hiroaki. / Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns. Advances in Soft Computing. Vol. 42 2007. pp. 314-323 (Advances in Soft Computing).
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