Portfolio selection problems considering fuzzy returns of future scenarios

Takashi Hasuike, Hiroaki Ishii

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

1 Citation (Scopus)

Abstract

In this paper, we propose multi-objective mathematical decision models with respect to portfolio selection problems, particularly using the scenario model to include the ambiguous factors. In real investment case, since many random and ambiguous situations exist, portfolio selection problems under such situations are considered. Mathematical programming problems including them are generally called to stochastic programming problems and fuzzy programming problems, and they are equivalently transformed into nonlinear programming problems. Since it is difficult to find the global optimal solution with respect to their problems directly, in this paper, we construct the efficient solution method to find the global optimal solution of such nonlinear programming problems.

Original languageEnglish
Title of host publicationSecond International Conference on Innovative Computing, Information and Control, ICICIC 2007
PublisherIEEE Computer Society
ISBN (Print)0769528821, 9780769528823
DOIs
Publication statusPublished - 2007 Jan 1
Event2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007 - Kumamoto, Japan
Duration: 2007 Sep 52007 Sep 7

Publication series

NameSecond International Conference on Innovative Computing, Information and Control, ICICIC 2007

Other

Other2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007
CountryJapan
CityKumamoto
Period07/9/507/9/7

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ASJC Scopus subject areas

  • Computer Science(all)
  • Mechanical Engineering

Cite this

Hasuike, T., & Ishii, H. (2007). Portfolio selection problems considering fuzzy returns of future scenarios. In Second International Conference on Innovative Computing, Information and Control, ICICIC 2007 [4427816] (Second International Conference on Innovative Computing, Information and Control, ICICIC 2007). IEEE Computer Society. https://doi.org/10.1109/ICICIC.2007.457