Safety first models of portfolio selection problems considering the multi-scenario including fuzzy returns

Takashi Hasuike, Hiroaki Ishii

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

This paper considers safety first models with respect to portfolio selection problems, particularly using the multi-scenario for the future return of each asset including ambiguity. Then, the fuzzy extensions for safety first models are proposed. These models are generally formulated as stochastic and fuzzy programming problems. Since they are not well-defined problems due to random and fuzzy variables and it is difficult to solve them directly and analytically, introducing the probability and possibility chance constraints, they are equivalently transformed into 0-1 mixed linear programming problems and the efficient solution methods are constructed. Furthermore, a numerical example of portfolio selection problem is provided to compare proposed models with the basic model.

Original languageEnglish
Pages (from-to)1463-1474
Number of pages12
JournalInternational Journal of Innovative Computing, Information and Control
Volume5
Issue number6
Publication statusPublished - 2009 Jun
Externally publishedYes

Fingerprint

Portfolio Selection
Safety
Scenarios
Chance Constraints
Fuzzy Programming
Fuzzy Variable
Model
Stochastic Programming
Efficient Solution
Linear programming
Well-defined
Random variable
Numerical Examples

Keywords

  • Multi-criteria
  • Necessity measure
  • Portfolio selection
  • Possibility measure
  • Safety first model

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Information Systems
  • Software
  • Theoretical Computer Science

Cite this

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