Sensitivity analysis for portfolio selection problem considering investor's subjectivity

Takashi Hasuike, Hideki Katagiri

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

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 languageEnglish
Title of host publicationProceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010
Pages2186-2190
Number of pages5
Publication statusPublished - 2010
Externally publishedYes
EventInternational MultiConference of Engineers and Computer Scientists 2010, IMECS 2010 - Kowloon, Hong Kong
Duration: 2010 Mar 172010 Mar 19

Other

OtherInternational MultiConference of Engineers and Computer Scientists 2010, IMECS 2010
CountryHong Kong
CityKowloon
Period10/3/1710/3/19

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Sensitivity analysis

Keywords

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

ASJC Scopus subject areas

  • Computer Science (miscellaneous)

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)

Sensitivity analysis for portfolio selection problem considering investor's subjectivity. / Hasuike, Takashi; Katagiri, Hideki.

Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010. 2010. p. 2186-2190.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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, International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010, Kowloon, Hong Kong, 10/3/17.
Hasuike T, Katagiri H. Sensitivity analysis for portfolio selection problem considering investor's subjectivity. In Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010. 2010. p. 2186-2190
Hasuike, Takashi ; Katagiri, Hideki. / Sensitivity analysis for portfolio selection problem considering investor's subjectivity. Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010. 2010. pp. 2186-2190
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