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 |
|---|---|
| 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 |
| 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 |
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 |
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Keywords
- Arbitrage Pricing Theory (APT)
- Portfolio selection problem
- Random fuzzy programming
- Robust programming
- TS Fuzzy reasoning method
ASJC Scopus subject areas
- Artificial Intelligence
- Software
Cite this
Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method. / Hasuike, Takashi; Katagiri, Hideki; Tsuda, Hiroshi.
6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012. 2012. p. 995-1000 6505234.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method
AU - Hasuike, Takashi
AU - Katagiri, Hideki
AU - Tsuda, Hiroshi
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
KW - Arbitrage Pricing Theory (APT)
KW - Portfolio selection problem
KW - Random fuzzy programming
KW - Robust programming
KW - TS Fuzzy reasoning method
UR - http://www.scopus.com/inward/record.url?scp=84877816950&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84877816950&partnerID=8YFLogxK
U2 - 10.1109/SCIS-ISIS.2012.6505234
DO - 10.1109/SCIS-ISIS.2012.6505234
M3 - Conference contribution
AN - SCOPUS:84877816950
SN - 9781467327428
SP - 995
EP - 1000
BT - 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012
ER -