A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming

Takashi Hasuike*, Hiroaki Ishii

*この研究の対応する著者

研究成果: Conference contribution

8 被引用数 (Scopus)

抄録

This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this proposed problem is not well-defined due to primary and secondary fuzziness, introducing the possibility measure that the total return is more than the target value, the main problem is transformed into the type-1 fuzzy programming problem with the interval value. Furthermore, using the hybrid solution approach based on the linearity of the deterministic equivalent problem and the interval programming problem, the efficient solution is constructed. In order to compare the proposed model with previous standard models, a numerical example derived from the current stock market is provided.

本文言語English
ホスト出版物のタイトル2009 IEEE International Conference on Fuzzy Systems - Proceedings
ページ267-272
ページ数6
DOI
出版ステータスPublished - 2009 12 10
外部発表はい
イベント2009 IEEE International Conference on Fuzzy Systems - Jeju Island, Korea, Republic of
継続期間: 2009 8 202009 8 24

出版物シリーズ

名前IEEE International Conference on Fuzzy Systems
ISSN(印刷版)1098-7584

Other

Other2009 IEEE International Conference on Fuzzy Systems
国/地域Korea, Republic of
CityJeju Island
Period09/8/2009/8/24

ASJC Scopus subject areas

  • ソフトウェア
  • 理論的コンピュータサイエンス
  • 人工知能
  • 応用数学

フィンガープリント

「A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル