Portfolio selection problems using the scenario model with fuzzy returns

Takashi Hasuike*, Hiroaki Ishii

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


In this paper, we propose several mathematical models with respect to portfolio selection problems, particularly using the scenario model including the ambiguous factors. These mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find the global optimal solution for those problems. We manage to develop an efficient solution method to find the global optimal solution of such a nonlinear programming problem. Furthermore, a numerical example of the portfolio selection problem is given to compare our proposal models with previous standard fuzzy portfolio models.

Original languageEnglish
Pages (from-to)335-347
Number of pages13
JournalAsia Pacific Management Review
Issue number3
Publication statusPublished - 2009 Sept
Externally publishedYes


  • Nonlinear programming problem
  • Portfolio selection problem
  • Scenario model
  • Stochastic and Fuzzy programming

ASJC Scopus subject areas

  • Business and International Management
  • Strategy and Management


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