TY - GEN

T1 - Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method

AU - Hasuike, Takashi

AU - Katagiri, Hideki

AU - Tsuda, Hiroshi

PY - 2013/1/24

Y1 - 2013/1/24

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. 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.

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. 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.

KW - Arbitrage pricing theory (APT)

KW - Equivalent transformation

KW - Exact solution algorithm

KW - Fuzzy reasoning method

KW - Portfolio selection problem

KW - Random fuzzy programming

KW - Robust programming

UR - http://www.scopus.com/inward/record.url?scp=84872585685&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84872585685&partnerID=8YFLogxK

U2 - 10.1007/978-94-007-5651-9-7

DO - 10.1007/978-94-007-5651-9-7

M3 - Conference contribution

AN - SCOPUS:84872585685

SN - 9789400756236

T3 - Lecture Notes in Electrical Engineering

SP - 91

EP - 103

BT - IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012

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

Y2 - 14 March 2012 through 16 March 2012

ER -