### Abstract

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.

Original language | English |
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Title of host publication | International MultiConference of Engineers and Computer Scientists, IMECS 2012 |

Publisher | Newswood Limited |

Pages | 1461-1466 |

Number of pages | 6 |

ISBN (Print) | 9789881925190 |

Publication status | Published - 2012 Jan 1 |

Event | 2012 International MultiConference of Engineers and Computer Scientists, IMECS 2012 - Kowloon, Hong Kong Duration: 2012 Mar 14 → 2012 Mar 16 |

### Publication series

Name | Lecture Notes in Engineering and Computer Science |
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Volume | 2196 |

ISSN (Print) | 2078-0958 |

### Other

Other | 2012 International MultiConference of Engineers and Computer Scientists, IMECS 2012 |
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Country | Hong Kong |

City | Kowloon |

Period | 12/3/14 → 12/3/16 |

### Keywords

- Fuzzy reasoning method
- Portfolio selection problem
- Random fuzzy programming
- Robust programming

### ASJC Scopus subject areas

- Computer Science (miscellaneous)

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## Cite this

*International MultiConference of Engineers and Computer Scientists, IMECS 2012*(pp. 1461-1466). (Lecture Notes in Engineering and Computer Science; Vol. 2196). Newswood Limited.