Risk-controlled multiobjective portfolio selection problem using a principle of compromise

Takashi Hasuike, Hideki Katagiri

研究成果: Article査読

3 被引用数 (Scopus)

抄録

This paper proposes a multiobjective portfolio selection problem with most probable random distribution derived from current market data and other random distributions of boom and recession under the risk-controlled parameters determined by an investor. The current market data and information include not only historical data but also interpretations of economists' oral and linguistic information, and hence, the boom and recession are often caused by these nonnumeric data. Therefore, investors need to consider several situations from most probable condition to boom and recession and to avoid the risk less than the target return in each situation. Furthermore, it is generally difficult to set random distributions of these cases exactly. Therefore, a robust-based approach for portfolio selection problems using the only mean values and variances of securities is proposed as a multiobjective programming problem. In addition, an exact algorithm is developed to obtain an explicit optimal portfolio using a principle of compromise.

本文言語English
論文番号232375
ジャーナルMathematical Problems in Engineering
2014
DOI
出版ステータスPublished - 2014
外部発表はい

ASJC Scopus subject areas

  • 数学 (全般)
  • 工学(全般)

フィンガープリント

「Risk-controlled multiobjective portfolio selection problem using a principle of compromise」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル