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

Takashi Hasuike, Hideki Katagiri

研究成果: Conference contribution

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
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 172010 3 19

出版物シリーズ

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

Other

OtherInternational MultiConference of Engineers and Computer Scientists, IMECS 2010
China
Hong Kong
期間10/3/1710/3/19

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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  • 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