### 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. Arbitrage Pricing Theory (APT) is introduced as a future return of each security, and each factor in APT 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 | IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012 |

Pages | 91-103 |

Number of pages | 13 |

DOIs | |

Publication status | Published - 2013 Jan 24 |

Externally published | Yes |

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

### Publication series

Name | Lecture Notes in Electrical Engineering |
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Volume | 186 LNEE |

ISSN (Print) | 1876-1100 |

ISSN (Electronic) | 1876-1119 |

### Other

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

City | Hong Kong |

Period | 12/3/14 → 12/3/16 |

### Keywords

- Arbitrage pricing theory (APT)
- Equivalent transformation
- Exact solution algorithm
- Fuzzy reasoning method
- Portfolio selection problem
- Random fuzzy programming
- Robust programming

### ASJC Scopus subject areas

- Industrial and Manufacturing Engineering

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## Cite this

*IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012*(pp. 91-103). (Lecture Notes in Electrical Engineering; Vol. 186 LNEE). https://doi.org/10.1007/978-94-007-5651-9-7