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