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

Takashi Hasuike, Hideki Katagiri

Research output: Contribution to journalArticle

9 Citations (Scopus)

### 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 IAENG International Journal of Applied Mathematics 40 3 Published - 2010 Aug Yes

### Fingerprint

Selection Model
Portfolio Selection
Sensitivity analysis
Sensitivity Analysis
Fuzzy Programming
Optimal Portfolio
Fuzziness
Fuzzy numbers
Proposition
Performance Measures
Randomness
Well-defined

### Keywords

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

### ASJC Scopus subject areas

• Applied Mathematics

### Cite this

In: IAENG International Journal of Applied Mathematics, Vol. 40, No. 3, 08.2010.

Research output: Contribution to journalArticle

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