Portfolio selection problems considering fuzzy returns of future scenarios

Takashi Hasuike, Hiroaki Ishh

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

This paper considers multi-criteria mathematical decision models with respect to portfolio selection problems, particularly multi-scenario models to the future return of each asset including ambiguity and the fuzzy extension of mean-variance model and mean-absolute deviation model. The proposed models are generally formulated as multi-criteria stochastic programming problems and fuzzy programming problems. Since they are not well-defined problems due to random and fuzzy variables and it is difficult to solve them directly and analytically, two cases with respect to proposed models are considered. Furthermore, introducing the possibility and necessity chance constraints, they are equivalently transformed into linear or quadratic programming problems and the efficient solution methods are constructed. Then, a numerical example of portfolio selection problem is given to compare proposal models with the basic model.

Original languageEnglish
Pages (from-to)2493-2506
Number of pages14
JournalInternational Journal of Innovative Computing, Information and Control
Volume4
Issue number10
Publication statusPublished - 2008 Oct
Externally publishedYes

Fingerprint

Portfolio Selection
Scenarios
Multi-criteria
Model
Chance Constraints
Fuzzy Programming
Fuzzy Variable
Stochastic Programming
Stochastic programming
Decision Model
Quadratic Programming
Efficient Solution
Quadratic programming
Well-defined
Linear programming
Deviation
Random variable
Mathematical Model
Numerical Examples

Keywords

  • Multi-criteria
  • Necessity measure
  • Portfolio selection
  • Possibility measure

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Information Systems
  • Software
  • Theoretical Computer Science

Cite this

Portfolio selection problems considering fuzzy returns of future scenarios. / Hasuike, Takashi; Ishh, Hiroaki.

In: International Journal of Innovative Computing, Information and Control, Vol. 4, No. 10, 10.2008, p. 2493-2506.

Research output: Contribution to journalArticle

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