Sensitivity analysis for portfolio selection problem considering investor's subjectivity

Takashi Hasuike, Hideki Katagiri

研究成果: Conference contribution

3 被引用数 (Scopus)

抄録

This paper considers a portfolio selection problem considering an investor's subjectivity and the sensitivity analysis for the change of subjectivity. Since this proposed problem is formulated as a random fuzzy programming problem, it is not well-defined due to randomness and fuzziness. Therefore, introducing Sharpe ratio which is one of important performance measures of portfolio models, the main problem is transformed into the standard fuzzy programming problem. Furthermore, using the sensitivity analysis for fuzziness, the analytical optimal portfolio with the sensitivity factor is obtained.

本文言語English
ホスト出版物のタイトルProceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010
ページ2186-2190
ページ数5
出版ステータスPublished - 2010
外部発表はい
イベントInternational MultiConference of Engineers and Computer Scientists 2010, IMECS 2010 - Kowloon, Hong Kong
継続期間: 2010 3 172010 3 19

出版物シリーズ

名前Proceedings of the International MultiConference of Engineers and Computer Scientists 2010, IMECS 2010

Other

OtherInternational MultiConference of Engineers and Computer Scientists 2010, IMECS 2010
CountryHong Kong
CityKowloon
Period10/3/1710/3/19

ASJC Scopus subject areas

  • Computer Science (miscellaneous)

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