Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and 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

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. Arbitrage Pricing Theory (APT) is introduced as a future return of each security, and each factor in APT 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IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012
出版社Springer Verlag
ページ91-103
ページ数13
ISBN(印刷版)9789400756236
DOI
出版ステータスPublished - 2013
外部発表はい
イベントInternational MultiConference of Engineers and Computer Scientists 2012, IMECS 2012 - Hong Kong, Hong Kong
継続期間: 2012 3 142012 3 16

出版物シリーズ

名前Lecture Notes in Electrical Engineering
186 LNEE
ISSN(印刷版)1876-1100
ISSN(電子版)1876-1119

Other

OtherInternational MultiConference of Engineers and Computer Scientists 2012, IMECS 2012
国/地域Hong Kong
CityHong Kong
Period12/3/1412/3/16

ASJC Scopus subject areas

  • 産業および生産工学

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