Development of solution algorithm and sensitivity analysis for random fuzzy portfolio selection model

Takashi Hasuike*, Hideki Katagiri

*この研究の対応する著者

研究成果: Conference contribution

抄録

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.

本文言語English
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
出版ステータスPublished - 2010 12月 13
外部発表はい
イベントInternational MultiConference of Engineers and Computer Scientists, IMECS 2010 - Hong Kong, China
継続期間: 2010 3月 172010 3月 19

出版物シリーズ

名前AIP Conference Proceedings
1285
ISSN(印刷版)0094-243X
ISSN(電子版)1551-7616

Other

OtherInternational MultiConference of Engineers and Computer Scientists, IMECS 2010
国/地域China
CityHong Kong
Period10/3/1710/3/19

ASJC Scopus subject areas

  • 物理学および天文学(全般)

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