Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns

Takashi Hasuike, Hiroaki Ishii

研究成果: Chapter

1 被引用数 (Scopus)

抄録

In this paper, we propose the solution method about the multiobjective portfolio selection problem, particularly the scenario model to include the ambiguous factors and chance constraints. Generally, mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find its global optimal solution. In this paper, we manage to develop the efficient solution method to find its global optimal solution of such a problem introducing the some subproblems.

本文言語English
ホスト出版物のタイトルTheoretical Advances and Applications of Fuzzy Logic and Soft Computing
編集者Oscar Castillo, Patricia Melin, Oscar Montiel Ross, Roberto Sepulveda Cruz, Witold Pedrycz, Janusz Kacprzyk
ページ314-323
ページ数10
DOI
出版ステータスPublished - 2007 12 1
外部発表はい

出版物シリーズ

名前Advances in Soft Computing
42
ISSN(印刷版)1615-3871
ISSN(電子版)1860-0794

ASJC Scopus subject areas

  • Computer Science (miscellaneous)
  • Computational Mechanics
  • Computer Science Applications

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