Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method

Takashi Hasuike, Hideki Katagiri, Hiroshi Tsuda

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

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 languageEnglish
Title of host publication6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012
Pages995-1000
Number of pages6
DOIs
Publication statusPublished - 2012 Dec 1
Event2012 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 202012 Nov 24

Publication series

Name6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012

Other

Other2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012
CountryJapan
CityKobe
Period12/11/2012/11/24

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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

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