Abstract
This paper proposes a robust-based mean-variance portfolio selection problem with random fuzzy returns using a fuzzy reasoning method, particularly a standard TS 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 | 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012 |
| Pages | 995-1000 |
| Number of pages | 6 |
| DOIs | |
| Publication status | Published - 2012 Dec 1 |
| Externally published | Yes |
| Event | 2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012 - Kobe, Japan Duration: 2012 Nov 20 → 2012 Nov 24 |
Publication series
| Name | 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012 |
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Other
| Other | 2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012 |
|---|---|
| Country | Japan |
| City | Kobe |
| Period | 12/11/20 → 12/11/24 |
Keywords
- Arbitrage Pricing Theory (APT)
- Portfolio selection problem
- Random fuzzy programming
- Robust programming
- TS Fuzzy reasoning method
ASJC Scopus subject areas
- Artificial Intelligence
- Software
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Cite this
Hasuike, T., Katagiri, H., & Tsuda, H. (2012). Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method. In 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012 (pp. 995-1000). [6505234] (6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012). https://doi.org/10.1109/SCIS-ISIS.2012.6505234