TY - JOUR
T1 - Sensitivity analysis for random fuzzy portfolio selection model with investor's subjectivity
AU - Hasuike, Takashi
AU - Katagiri, Hideki
PY - 2010/8/1
Y1 - 2010/8/1
N2 - 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.
AB - 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.
KW - Analytical solution method
KW - Portfolio selection problem
KW - Random fuzzy programming
KW - Sensitivity analysis
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M3 - Article
AN - SCOPUS:77956922099
VL - 40
JO - IAENG International Journal of Applied Mathematics
JF - IAENG International Journal of Applied Mathematics
SN - 1992-9978
IS - 3
ER -