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

Takashi Hasuike, Hideki Katagiri, Hiroshi Tsuda

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageEnglish
Title of host publicationIAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012
Pages91-103
Number of pages13
DOIs
Publication statusPublished - 2013 Jan 24
Externally publishedYes
EventInternational MultiConference of Engineers and Computer Scientists 2012, IMECS 2012 - Hong Kong, Hong Kong
Duration: 2012 Mar 142012 Mar 16

Publication series

NameLecture Notes in Electrical Engineering
Volume186 LNEE
ISSN (Print)1876-1100
ISSN (Electronic)1876-1119

Other

OtherInternational MultiConference of Engineers and Computer Scientists 2012, IMECS 2012
CountryHong Kong
CityHong Kong
Period12/3/1412/3/16

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

    Hasuike, T., Katagiri, H., & Tsuda, H. (2013). Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method. In 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