Portfolio selection problems with random fuzzy variable returns

Takashi Hasuike, Hideki Katagiri, Hiroaki Ishii

Research output: Chapter in Book/Report/Conference proceedingConference contribution

9 Citations (Scopus)

Abstract

In this paper, two portfolio selection problems including probabilistic future returns with ambiguous expected returns are proposed. Until now, many researchers have proposed models of portfolio selection problems, and there are some models considering both random conditions and ambiguous conditions, particularly using fuzzy random variables. However, the model including the random fuzzy variables has not been proposed yet. Therefore in this paper, we propose a random fuzzy portfolio selection problem. The formulated problem is transformed into a nonlinear programming problem. Finally, we construct a solution method to find a global optimal solution of the problem.

Original languageEnglish
Title of host publication2007 IEEE International Conference on Fuzzy Systems, FUZZY
DOIs
Publication statusPublished - 2007 Dec 1
Externally publishedYes
Event2007 IEEE International Conference on Fuzzy Systems, FUZZY - London, United Kingdom
Duration: 2007 Jul 232007 Jul 26

Publication series

NameIEEE International Conference on Fuzzy Systems
ISSN (Print)1098-7584

Other

Other2007 IEEE International Conference on Fuzzy Systems, FUZZY
CountryUnited Kingdom
CityLondon
Period07/7/2307/7/26

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science
  • Artificial Intelligence
  • Applied Mathematics

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