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
Externally publishedYes
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

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

Fingerprint

Nonlinear programming
Costs

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] 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.

Research output: Chapter in Book/Report/Conference proceedingConference 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, 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 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
@inproceedings{4ff8b96f6eb64b82ba8bdab067b89242,
title = "Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method",
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.",
keywords = "Arbitrage Pricing Theory (APT), Portfolio selection problem, Random fuzzy programming, Robust programming, TS Fuzzy reasoning method",
author = "Takashi Hasuike and Hideki Katagiri and Hiroshi Tsuda",
year = "2012",
doi = "10.1109/SCIS-ISIS.2012.6505234",
language = "English",
isbn = "9781467327428",
pages = "995--1000",
booktitle = "6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012",

}

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 -