TY - GEN

T1 - Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method

AU - Hasuike, Takashi

AU - Katagiri, Hideki

AU - Tsuda, Hiroshi

PY - 2012/12/1

Y1 - 2012/12/1

N2 - This paper proposes a robust-based mean-variance portfolio selection problem with random fuzzy returns using a fuzzy reasoning method, particularly a standard TS 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.

AB - This paper proposes a robust-based mean-variance portfolio selection problem with random fuzzy returns using a fuzzy reasoning method, particularly a standard TS 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.

KW - Arbitrage Pricing Theory (APT)

KW - Portfolio selection problem

KW - Random fuzzy programming

KW - Robust programming

KW - TS Fuzzy reasoning method

UR - http://www.scopus.com/inward/record.url?scp=84877816950&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84877816950&partnerID=8YFLogxK

U2 - 10.1109/SCIS-ISIS.2012.6505234

DO - 10.1109/SCIS-ISIS.2012.6505234

M3 - Conference contribution

AN - SCOPUS:84877816950

SN - 9781467327428

T3 - 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012

SP - 995

EP - 1000

BT - 6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012

T2 - 2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012

Y2 - 20 November 2012 through 24 November 2012

ER -