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

Takashi Hasuike*


研究成果: Chapter

1 被引用数 (Scopus)


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.

ホスト出版物のタイトルIntelligent Soft Computation and Evolving Data Mining
ホスト出版物のサブタイトルIntegrating Advanced Technologies
出版社IGI Global
出版ステータスPublished - 2010

ASJC Scopus subject areas

  • 社会科学(全般)


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