Portfolio selection problems with random fuzzy variable returns

Takashi Hasuike*, Hideki Katagiri, Hiroaki Ishii

*この研究の対応する著者

研究成果: Article査読

91 被引用数 (Scopus)

抄録

This paper considers several portfolio selection problems including probabilistic future returns with ambiguous expected returns assumed as random fuzzy variables. Random fuzzy portfolio selection problems are formulated as nonlinear programming problems based on both stochastic and fuzzy programming approaches Since there is no efficient solution method to solve these problems directly, main problems are transformed into equivalent deterministic quadratic programming problems using probabilistic chance constraints, possibility measure and fuzzy goals, and their efficient solution methods to find a global optimal solution of each problem is constructed. Furthermore, numerical examples of portfolio selection problems are provided to illustrate our proposed models and solution methods compared with several previous basic models and to show that our proposed model is a versatile model to be applicable to various unexpected conditions.

本文言語English
ページ(範囲)2579-2596
ページ数18
ジャーナルFuzzy Sets and Systems
160
18
DOI
出版ステータスPublished - 2009 9 16
外部発表はい

ASJC Scopus subject areas

  • 論理
  • 人工知能

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