# Portfolio selection problems using the scenario model with fuzzy returns

Takashi Hasuike, Hiroaki Ishii

Research output: Contribution to journalArticle

1 Citation (Scopus)

### 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 335-347 13 Asia Pacific Management Review 14 3 Published - 2009 Sep Yes

### Fingerprint

Portfolio selection
Scenarios
Optimal solution
Factors
Fuzzy programming
Mathematical model
Mathematical programming
Portfolio model
Stochastic programming
Nonlinear programming

### Keywords

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

### ASJC Scopus subject areas

• Strategy and Management

### Cite this

In: Asia Pacific Management Review, Vol. 14, No. 3, 09.2009, p. 335-347.

Research output: Contribution to journalArticle

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