Portfolio selection problems using the scenario model with fuzzy returns

Takashi Hasuike*, Hiroaki Ishii

*この研究の対応する著者

研究成果: Article査読

1 被引用数 (Scopus)

抄録

In this paper, we propose several mathematical models with respect to portfolio selection problems, particularly using the scenario model including the ambiguous factors. These mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find the global optimal solution for those problems. We manage to develop an efficient solution method to find the global optimal solution of such a nonlinear programming problem. Furthermore, a numerical example of the portfolio selection problem is given to compare our proposal models with previous standard fuzzy portfolio models.

本文言語English
ページ(範囲)335-347
ページ数13
ジャーナルAsia Pacific Management Review
14
3
出版ステータスPublished - 2009 9月
外部発表はい

ASJC Scopus subject areas

  • ビジネスおよび国際経営
  • 戦略と経営

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