A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value

Takashi Hasuike; Hiroaki Ishii

A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value

Takashi Hasuike^*, Hiroaki Ishii

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

11 Citations (Scopus)

Abstract

This paper considers a portfolio selection problem with type-2 fuzzy future returns involving ambiguous and subjectivity. Since this proposed problem is not well-defined due to fuzziness, introducing the fuzzy goal for the total future return and the degree of possibility, the main problem is transformed into the standard fuzzy programming problem including the secondary fuzzy numbers. Furthermore, using the hybrid solution approaches based on the linearity of the deterministic equivalent problem and the crisp possibilistic mean value, the efficient solution is constructed.

Original language	English
Title of host publication	2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings
Pages	1120-1125
Number of pages	6
Publication status	Published - 2009 Dec 1
Externally published	Yes
Event	Joint 2009 International Fuzzy Systems Association World Congress, IFSA 2009 and 2009 European Society of Fuzzy Logic and Technology Conference, EUSFLAT 2009 - Lisbon, Portugal Duration: 2009 Jul 20 → 2009 Jul 24

Publication series

Name	2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings

Other

Other	Joint 2009 International Fuzzy Systems Association World Congress, IFSA 2009 and 2009 European Society of Fuzzy Logic and Technology Conference, EUSFLAT 2009
Country/Territory	Portugal
City	Lisbon
Period	09/7/20 → 09/7/24

Keywords

Crisp possibilistic mean value
Efficient solution method
Portfolio selection
Possibility measure
Type-2 fuzzy

ASJC Scopus subject areas

Computational Theory and Mathematics
Information Systems

Cite this

Hasuike, T., & Ishii, H. (2009). A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value. In 2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings (pp. 1120-1125). (2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings).

A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value. / Hasuike, Takashi; Ishii, Hiroaki.
2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings. 2009. p. 1120-1125 (2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Hasuike, T & Ishii, H 2009, A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value. in 2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings. 2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings, pp. 1120-1125, Joint 2009 International Fuzzy Systems Association World Congress, IFSA 2009 and 2009 European Society of Fuzzy Logic and Technology Conference, EUSFLAT 2009, Lisbon, Portugal, 09/7/20.

Hasuike T, Ishii H. A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value. In 2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings. 2009. p. 1120-1125. (2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings).

Hasuike, Takashi ; Ishii, Hiroaki. / A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value. 2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings. 2009. pp. 1120-1125 (2009 International Fuzzy Systems Association World Congress and 2009 European Society for Fuzzy Logic and Technology Conference, IFSA-EUSFLAT 2009 - Proceedings).

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A type-2 fuzzy portfolio selection problem considering possibility measure and crisp possibilistic mean value

Abstract

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Keywords

ASJC Scopus subject areas

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