Multiobjective random fuzzy portfolio selection problems based on CAPM

Takashi Hasuike, Hideki Katagiri, Hiroaki Ishii

研究成果: Conference contribution

1 被引用数 (Scopus)

抄録

Many researchers have proposed portfolio models based on the stochastic and fuzzy approaches until now, and there are some models considering both random and ambiguous conditions, particularly using fuzzy random or random fuzzy variables. However, few studies with multiobjective random fuzzy models for the portfolio selection problems have been performed. Therefore, a multiobjective random fuzzy portfolio selection problem based on CAPM, which is one of the most standard factor models, is proposed. In the sense of mathematical programming, our proposed problems are not well-defined problems due to randomness and fuzziness. Therefore, setting some criterions and introducing chance constrains, main problems are transformed into deterministic programming problems. Finally, we construct a solution method to obtain a global optimal solution of the problem.

本文言語English
ホスト出版物のタイトルProceedings 2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
ページ1316-1321
ページ数6
DOI
出版ステータスPublished - 2009 12 1
外部発表はい
イベント2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009 - San Antonio, TX, United States
継続期間: 2009 10 112009 10 14

出版物シリーズ

名前Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
ISSN(印刷版)1062-922X

Other

Other2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
CountryUnited States
CitySan Antonio, TX
Period09/10/1109/10/14

ASJC Scopus subject areas

  • Electrical and Electronic Engineering
  • Control and Systems Engineering
  • Human-Computer Interaction

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