Portfolio selection problems with random fuzzy variable returns

Takashi Hasuike, Hideki Katagiri, Hiroaki Ishii

研究成果: Conference contribution

10 被引用数 (Scopus)

抄録

In this paper, two portfolio selection problems including probabilistic future returns with ambiguous expected returns are proposed. Until now, many researchers have proposed models of portfolio selection problems, and there are some models considering both random conditions and ambiguous conditions, particularly using fuzzy random variables. However, the model including the random fuzzy variables has not been proposed yet. Therefore in this paper, we propose a random fuzzy portfolio selection problem. The formulated problem is transformed into a nonlinear programming problem. Finally, we construct a solution method to find a global optimal solution of the problem.

本文言語English
ホスト出版物のタイトル2007 IEEE International Conference on Fuzzy Systems, FUZZY
DOI
出版ステータスPublished - 2007 12 1
外部発表はい
イベント2007 IEEE International Conference on Fuzzy Systems, FUZZY - London, United Kingdom
継続期間: 2007 7 232007 7 26

出版物シリーズ

名前IEEE International Conference on Fuzzy Systems
ISSN(印刷版)1098-7584

Other

Other2007 IEEE International Conference on Fuzzy Systems, FUZZY
CountryUnited Kingdom
CityLondon
Period07/7/2307/7/26

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science
  • Artificial Intelligence
  • Applied Mathematics

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