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

Takashi Hasuike, Hideki Katagiri, Hiroshi Tsuda

研究成果: Conference contribution

抄録

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.

本文言語English
ホスト出版物のタイトル6th International Conference on Soft Computing and Intelligent Systems, and 13th International Symposium on Advanced Intelligence Systems, SCIS/ISIS 2012
ページ995-1000
ページ数6
DOI
出版ステータスPublished - 2012 12 1
外部発表はい
イベント2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012 - Kobe, Japan
継続期間: 2012 11 202012 11 24

出版物シリーズ

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

Other

Other2012 Joint 6th International Conference on Soft Computing and Intelligent Systems, SCIS 2012 and 13th International Symposium on Advanced Intelligence Systems, ISIS 2012
国/地域Japan
CityKobe
Period12/11/2012/11/24

ASJC Scopus subject areas

  • 人工知能
  • ソフトウェア

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