TY - GEN
T1 - Sensitivity analysis for portfolio selection problem considering investor's subjectivity
AU - Hasuike, Takashi
AU - Katagiri, Hideki
PY - 2010
Y1 - 2010
N2 - 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.
AB - 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.
KW - Analytical solution method
KW - Portfolio selection problem
KW - Random fuzzy programming
KW - Sensitivity analysis
UR - http://www.scopus.com/inward/record.url?scp=79952384326&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79952384326&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:79952384326
SN - 9789881701282
T3 - Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010
SP - 2186
EP - 2190
BT - Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010
T2 - International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010
Y2 - 17 March 2010 through 19 March 2010
ER -