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

Takashi Hasuike, Hideki Katagiri

Research output: Contribution to journalArticle

8 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 languageEnglish
JournalIAENG International Journal of Applied Mathematics
Volume40
Issue number3
Publication statusPublished - 2010 Aug
Externally publishedYes

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

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