### 抜粋

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.

元の言語 | English |
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ホスト出版物のタイトル | IAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010 |

ページ | 59-70 |

ページ数 | 12 |

DOI | |

出版物ステータス | Published - 2010 12 13 |

外部発表 | Yes |

イベント | International MultiConference of Engineers and Computer Scientists, IMECS 2010 - Hong Kong, China 継続期間: 2010 3 17 → 2010 3 19 |

### 出版物シリーズ

名前 | AIP Conference Proceedings |
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巻 | 1285 |

ISSN（印刷物） | 0094-243X |

ISSN（電子版） | 1551-7616 |

### Other

Other | International MultiConference of Engineers and Computer Scientists, IMECS 2010 |
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国 | China |

市 | Hong Kong |

期間 | 10/3/17 → 10/3/19 |

### ASJC Scopus subject areas

- Physics and Astronomy(all)

## フィンガープリント Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model' の研究トピックを掘り下げます。これらはともに一意のフィンガープリントを構成します。

## これを引用

Hasuike, T., & Katagiri, H. (2010). Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model. ：

*IAENG Transactions on Engineering Technologies Volume 5 - Special Edition of the International MultiConference of Engineers and Computer Scientists 2010*(pp. 59-70). (AIP Conference Proceedings; 巻数 1285). https://doi.org/10.1063/1.3510580