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 -