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 |
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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
Portfolio selection problems using the scenario model with fuzzy returns. / Hasuike, Takashi; Ishii, Hiroaki.
In: Asia Pacific Management Review, Vol. 14, No. 3, 09.2009, p. 335-347.Research output: Contribution to journal › Article
}
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 -