### Abstract

This paper proposes a multiobjective portfolio selection problem with most probable random distribution derived from current market data and other random distributions of boom and recession under the risk-controlled parameters determined by an investor. The current market data and information include not only historical data but also interpretations of economists' oral and linguistic information, and hence, the boom and recession are often caused by these nonnumeric data. Therefore, investors need to consider several situations from most probable condition to boom and recession and to avoid the risk less than the target return in each situation. Furthermore, it is generally difficult to set random distributions of these cases exactly. Therefore, a robust-based approach for portfolio selection problems using the only mean values and variances of securities is proposed as a multiobjective programming problem. In addition, an exact algorithm is developed to obtain an explicit optimal portfolio using a principle of compromise.

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

Article number | 232375 |

Journal | Mathematical Problems in Engineering |

Volume | 2014 |

DOIs | |

Publication status | Published - 2014 |

Externally published | Yes |

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### ASJC Scopus subject areas

- Mathematics(all)
- Engineering(all)

### Cite this

*Mathematical Problems in Engineering*,

*2014*, [232375]. https://doi.org/10.1155/2014/232375

**Risk-controlled multiobjective portfolio selection problem using a principle of compromise.** / Hasuike, Takashi; Katagiri, Hideki.

Research output: Contribution to journal › Article

*Mathematical Problems in Engineering*, vol. 2014, 232375. https://doi.org/10.1155/2014/232375

}

TY - JOUR

T1 - Risk-controlled multiobjective portfolio selection problem using a principle of compromise

AU - Hasuike, Takashi

AU - Katagiri, Hideki

PY - 2014

Y1 - 2014

N2 - This paper proposes a multiobjective portfolio selection problem with most probable random distribution derived from current market data and other random distributions of boom and recession under the risk-controlled parameters determined by an investor. The current market data and information include not only historical data but also interpretations of economists' oral and linguistic information, and hence, the boom and recession are often caused by these nonnumeric data. Therefore, investors need to consider several situations from most probable condition to boom and recession and to avoid the risk less than the target return in each situation. Furthermore, it is generally difficult to set random distributions of these cases exactly. Therefore, a robust-based approach for portfolio selection problems using the only mean values and variances of securities is proposed as a multiobjective programming problem. In addition, an exact algorithm is developed to obtain an explicit optimal portfolio using a principle of compromise.

AB - This paper proposes a multiobjective portfolio selection problem with most probable random distribution derived from current market data and other random distributions of boom and recession under the risk-controlled parameters determined by an investor. The current market data and information include not only historical data but also interpretations of economists' oral and linguistic information, and hence, the boom and recession are often caused by these nonnumeric data. Therefore, investors need to consider several situations from most probable condition to boom and recession and to avoid the risk less than the target return in each situation. Furthermore, it is generally difficult to set random distributions of these cases exactly. Therefore, a robust-based approach for portfolio selection problems using the only mean values and variances of securities is proposed as a multiobjective programming problem. In addition, an exact algorithm is developed to obtain an explicit optimal portfolio using a principle of compromise.

UR - http://www.scopus.com/inward/record.url?scp=84901022902&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84901022902&partnerID=8YFLogxK

U2 - 10.1155/2014/232375

DO - 10.1155/2014/232375

M3 - Article

VL - 2014

JO - Mathematical Problems in Engineering

JF - Mathematical Problems in Engineering

SN - 1024-123X

M1 - 232375

ER -