Risk-management models based on the portfolio theory using historical data under uncertainty

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

Abstract

This chapter considers various types of risk-management models based on the portfolio theory under some social uncertainty that received historical data includes ambiguity, and that they are assumed not to be constant. These models with uncertainty are represented many social problems such as assets allocation, logistics, scheduling, urban project problems, etc. However, since these problems with uncertainty are formulated as stochastic and fuzzy programming problems, it is difficult to solve them analytically in the sense of deterministic mathematical programming. Therefore, introducing possibility and necessity measures based on the fuzzy programming approach and considering the concept of risk-management based on the portfolio theory, main problems are transformed into the deterministic programming problems. Then, in order to solve the deterministic problems efficiently, the solution method is constructed.

Original languageEnglish
Title of host publicationIntelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies
PublisherIGI Global
Pages123-146
Number of pages24
ISBN (Print)9781615207572
DOIs
Publication statusPublished - 2010
Externally publishedYes

Fingerprint

portfolio-theory
risk management
uncertainty
programming
Social Problems
scheduling
assets
logistics

ASJC Scopus subject areas

  • Social Sciences(all)

Cite this

Hasuike, T. (2010). Risk-management models based on the portfolio theory using historical data under uncertainty. In Intelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies (pp. 123-146). IGI Global. https://doi.org/10.4018/978-1-61520-757-2.ch007

Risk-management models based on the portfolio theory using historical data under uncertainty. / Hasuike, Takashi.

Intelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies. IGI Global, 2010. p. 123-146.

Research output: Chapter in Book/Report/Conference proceedingChapter

Hasuike, T 2010, Risk-management models based on the portfolio theory using historical data under uncertainty. in Intelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies. IGI Global, pp. 123-146. https://doi.org/10.4018/978-1-61520-757-2.ch007
Hasuike T. Risk-management models based on the portfolio theory using historical data under uncertainty. In Intelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies. IGI Global. 2010. p. 123-146 https://doi.org/10.4018/978-1-61520-757-2.ch007
Hasuike, Takashi. / Risk-management models based on the portfolio theory using historical data under uncertainty. Intelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies. IGI Global, 2010. pp. 123-146
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