Robust-based random fuzzy mean-variance model using a fuzzy reasoning method

Takashi Hasuike*, Hideki Katagiri, Hiroshi Tsuda

*この研究の対応する著者

研究成果: Conference contribution

3 被引用数 (Scopus)

抄録

This paper considers a robust-based random fuzzy mean-variance portfolio selection problem using a fuzzy reasoning method, particularly a single input type fuzzy reasoning method. Capital Asset Pricing Model is introduced as a future return of each security, and the market portfolio is assumed to be a random fuzzy variable whose mean is derived from a fuzzy reasoning method. Furthermore, under interval inputs of fuzzy reasoning method, a robust programming approach is introduced in order to minimize the worst case of the total variance. The proposed model is equivalently transformed into the deterministic nonlinear programming problem, and so the solution steps to obtain the exact optimal portfolio are developed.

本文言語English
ホスト出版物のタイトルInternational MultiConference of Engineers and Computer Scientists, IMECS 2012
出版社Newswood Limited
ページ1461-1466
ページ数6
ISBN(印刷版)9789881925190
出版ステータスPublished - 2012
外部発表はい
イベント2012 International MultiConference of Engineers and Computer Scientists, IMECS 2012 - Kowloon, Hong Kong
継続期間: 2012 3 142012 3 16

出版物シリーズ

名前Lecture Notes in Engineering and Computer Science
2196
ISSN(印刷版)2078-0958

Other

Other2012 International MultiConference of Engineers and Computer Scientists, IMECS 2012
国/地域Hong Kong
CityKowloon
Period12/3/1412/3/16

ASJC Scopus subject areas

  • コンピュータ サイエンス(その他)

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