Sensitivity analysis for random fuzzy portfolio selection model with investor's subjectivity

Takashi Hasuike; Hideki Katagiri

Sensitivity analysis for random fuzzy portfolio selection model with investor's subjectivity

Research output: Contribution to journal › Article › peer-review

Abstract

This paper focuses on the proposition of 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 due to both randomness and subjectivity presented by fuzzy numbers, it is not well-defined. 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
Journal	IAENG International Journal of Applied Mathematics
Volume	40
Issue number	3
Publication status	Published - 2010 Aug
Externally published	Yes

Keywords

Analytical solution method
Portfolio selection problem
Random fuzzy programming
Sensitivity analysis

ASJC Scopus subject areas

Applied Mathematics

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