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

Takashi Hasuike; Hideki Katagiri; Hiroshi Tsuda

doi:10.1109/SCIS-ISIS.2012.6505234

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

Takashi Hasuike, Hideki Katagiri, Hiroshi Tsuda

School of Creative Science and Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 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	https://doi.org/10.1109/SCIS-ISIS.2012.6505234
Publication status	Published - 2012 Dec 1
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

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

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

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 (6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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., 6505234, 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012, pp. 995-1000, 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, 12/11/20. https://doi.org/10.1109/SCIS-ISIS.2012.6505234

Hasuike T, Katagiri H, Tsuda H. 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. 2012. p. 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

Hasuike, Takashi ; Katagiri, Hideki ; Tsuda, Hiroshi. / Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method. 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012. 2012. pp. 995-1000 (6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012).

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Access to Document

10.1109/SCIS-ISIS.2012.6505234