### Abstract

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 language | English |
---|---|

Pages (from-to) | 335-347 |

Number of pages | 13 |

Journal | Asia Pacific Management Review |

Volume | 14 |

Issue number | 3 |

Publication status | Published - 2009 Sep |

Externally published | Yes |

### Fingerprint

### Keywords

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

### ASJC Scopus subject areas

- Business and International Management
- Strategy and Management

### Cite this

*Asia Pacific Management Review*,

*14*(3), 335-347.

**Portfolio selection problems using the scenario model with fuzzy returns.** / Hasuike, Takashi; Ishii, Hiroaki.

Research output: Contribution to journal › Article

*Asia Pacific Management Review*, vol. 14, no. 3, pp. 335-347.

}

TY - JOUR

T1 - Portfolio selection problems using the scenario model with fuzzy returns

AU - Hasuike, Takashi

AU - Ishii, Hiroaki

PY - 2009/9

Y1 - 2009/9

N2 - 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.

AB - 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.

KW - Nonlinear programming problem

KW - Portfolio selection problem

KW - Scenario model

KW - Stochastic and Fuzzy programming

UR - http://www.scopus.com/inward/record.url?scp=77953577609&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=77953577609&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:77953577609

VL - 14

SP - 335

EP - 347

JO - Asia Pacific Management Review

JF - Asia Pacific Management Review

SN - 1029-3132

IS - 3

ER -