TY - GEN

T1 - Robust-based random fuzzy mean-variance model using a fuzzy reasoning method

AU - Hasuike, Takashi

AU - Katagiri, Hideki

AU - Tsuda, Hiroshi

PY - 2012

Y1 - 2012

N2 - This paper considers a robust-based random fuzzy mean-variance portfolio selection problem using a fuzzy reasoning method, particularly a single input type fuzzy reasoning method. Capital Asset Pricing Model is introduced as a future return of each security, and the market portfolio is assumed to be a random fuzzy variable whose mean is derived from a fuzzy reasoning method. Furthermore, under interval inputs of fuzzy reasoning method, a robust programming approach is introduced in order to minimize the worst case of the total variance. The proposed model is equivalently transformed into the deterministic nonlinear programming problem, and so the solution steps to obtain the exact optimal portfolio are developed.

AB - This paper considers a robust-based random fuzzy mean-variance portfolio selection problem using a fuzzy reasoning method, particularly a single input type fuzzy reasoning method. Capital Asset Pricing Model is introduced as a future return of each security, and the market portfolio is assumed to be a random fuzzy variable whose mean is derived from a fuzzy reasoning method. Furthermore, under interval inputs of fuzzy reasoning method, a robust programming approach is introduced in order to minimize the worst case of the total variance. The proposed model is equivalently transformed into the deterministic nonlinear programming problem, and so the solution steps to obtain the exact optimal portfolio are developed.

KW - Fuzzy reasoning method

KW - Portfolio selection problem

KW - Random fuzzy programming

KW - Robust programming

UR - http://www.scopus.com/inward/record.url?scp=84867483639&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84867483639&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:84867483639

SN - 9789881925190

T3 - Lecture Notes in Engineering and Computer Science

SP - 1461

EP - 1466

BT - International MultiConference of Engineers and Computer Scientists, IMECS 2012

PB - Newswood Limited

T2 - 2012 International MultiConference of Engineers and Computer Scientists, IMECS 2012

Y2 - 14 March 2012 through 16 March 2012

ER -