Safety first models of portfolio selection problems considering the multi-scenario including fuzzy returns

Takashi Hasuike*, Hiroaki Ishii

*この研究の対応する著者

研究成果: Article査読

8 被引用数 (Scopus)

抄録

This paper considers safety first models with respect to portfolio selection problems, particularly using the multi-scenario for the future return of each asset including ambiguity. Then, the fuzzy extensions for safety first models are proposed. These models are generally formulated as stochastic and fuzzy programming problems. Since they are not well-defined problems due to random and fuzzy variables and it is difficult to solve them directly and analytically, introducing the probability and possibility chance constraints, they are equivalently transformed into 0-1 mixed linear programming problems and the efficient solution methods are constructed. Furthermore, a numerical example of portfolio selection problem is provided to compare proposed models with the basic model.

本文言語English
ページ(範囲)1463-1474
ページ数12
ジャーナルInternational Journal of Innovative Computing, Information and Control
5
6
出版ステータスPublished - 2009 6 1
外部発表はい

ASJC Scopus subject areas

  • ソフトウェア
  • 理論的コンピュータサイエンス
  • 情報システム
  • 計算理論と計算数学

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