Sensitivity analysis for random fuzzy portfolio selection model with investor's subjectivity

Takashi Hasuike*, Hideki Katagiri

*この研究の対応する著者

研究成果: Article査読

10 被引用数 (Scopus)

抄録

This paper focuses on the proposition of 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 due to both randomness and subjectivity presented by fuzzy numbers, it is not well-defined. 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
ジャーナルIAENG International Journal of Applied Mathematics
40
3
出版ステータスPublished - 2010 8月
外部発表はい

ASJC Scopus subject areas

  • 応用数学

フィンガープリント

「Sensitivity analysis for random fuzzy portfolio selection model with investor's subjectivity」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル