### Abstract

This paper considers a portfolio selection problem considering an investor's subjectivity and the sensitivity analysis for the change of subjectivity. Since this proposed problem is formulated as a random fuzzy programming problem, it is not well-defined due to randomness and fuzziness. Therefore, introducing Sharpe ratio which is one of important performance measures of portfolio models, the main problem is transformed into the standard fuzzy programming problem. Furthermore, using the sensitivity analysis for fuzziness, the analytical optimal portfolio with the sensitivity factor is obtained.

Original language | English |
---|---|

Title of host publication | Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010 |

Pages | 2186-2190 |

Number of pages | 5 |

Publication status | Published - 2010 |

Event | International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010 - Kowloon, Hong Kong Duration: 2010 Mar 17 → 2010 Mar 19 |

### Publication series

Name | Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010 |
---|

### Other

Other | International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010 |
---|---|

Country | Hong Kong |

City | Kowloon |

Period | 10/3/17 → 10/3/19 |

### Keywords

- Analytical solution method
- Portfolio selection problem
- Random fuzzy programming
- Sensitivity analysis

### ASJC Scopus subject areas

- Computer Science (miscellaneous)

## Fingerprint Dive into the research topics of 'Sensitivity analysis for portfolio selection problem considering investor's subjectivity'. Together they form a unique fingerprint.

## Cite this

Hasuike, T., & Katagiri, H. (2010). Sensitivity analysis for portfolio selection problem considering investor's subjectivity. In

*Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010*(pp. 2186-2190). (Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010).