Portfolio selection problems considering fuzzy returns of future scenarios

Takashi Hasuike*, Hiroaki Ishii

*この研究の対応する著者

研究成果: Conference contribution

1 被引用数 (Scopus)

抄録

In this paper, we propose multi-objective mathematical decision models with respect to portfolio selection problems, particularly using the scenario model to include the ambiguous factors. In real investment case, since many random and ambiguous situations exist, portfolio selection problems under such situations are considered. Mathematical programming problems including them are generally called to stochastic programming problems and fuzzy programming problems, and they are equivalently transformed into nonlinear programming problems. Since it is difficult to find the global optimal solution with respect to their problems directly, in this paper, we construct the efficient solution method to find the global optimal solution of such nonlinear programming problems.

本文言語English
ホスト出版物のタイトルSecond International Conference on Innovative Computing, Information and Control, ICICIC 2007
出版社IEEE Computer Society
ISBN(印刷版)0769528821, 9780769528823
DOI
出版ステータスPublished - 2007
外部発表はい
イベント2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007 - Kumamoto, Japan
継続期間: 2007 9月 52007 9月 7

出版物シリーズ

名前Second International Conference on Innovative Computing, Information and Control, ICICIC 2007

Other

Other2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007
国/地域Japan
CityKumamoto
Period07/9/507/9/7

ASJC Scopus subject areas

  • コンピュータ サイエンス(全般)
  • 機械工学

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