TY - CHAP

T1 - Risk-management models based on the portfolio theory using historical data under uncertainty

AU - Hasuike, Takashi

PY - 2010

Y1 - 2010

N2 - This chapter considers various types of risk-management models based on the portfolio theory under some social uncertainty that received historical data includes ambiguity, and that they are assumed not to be constant. These models with uncertainty are represented many social problems such as assets allocation, logistics, scheduling, urban project problems, etc. However, since these problems with uncertainty are formulated as stochastic and fuzzy programming problems, it is difficult to solve them analytically in the sense of deterministic mathematical programming. Therefore, introducing possibility and necessity measures based on the fuzzy programming approach and considering the concept of risk-management based on the portfolio theory, main problems are transformed into the deterministic programming problems. Then, in order to solve the deterministic problems efficiently, the solution method is constructed.

AB - This chapter considers various types of risk-management models based on the portfolio theory under some social uncertainty that received historical data includes ambiguity, and that they are assumed not to be constant. These models with uncertainty are represented many social problems such as assets allocation, logistics, scheduling, urban project problems, etc. However, since these problems with uncertainty are formulated as stochastic and fuzzy programming problems, it is difficult to solve them analytically in the sense of deterministic mathematical programming. Therefore, introducing possibility and necessity measures based on the fuzzy programming approach and considering the concept of risk-management based on the portfolio theory, main problems are transformed into the deterministic programming problems. Then, in order to solve the deterministic problems efficiently, the solution method is constructed.

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U2 - 10.4018/978-1-61520-757-2.ch007

DO - 10.4018/978-1-61520-757-2.ch007

M3 - Chapter

AN - SCOPUS:84900589530

SN - 9781615207572

SP - 123

EP - 146

BT - Intelligent Soft Computation and Evolving Data Mining

PB - IGI Global

ER -