TY - GEN
T1 - Multiobjective random fuzzy portfolio selection problems based on CAPM
AU - Hasuike, Takashi
AU - Katagiri, Hideki
AU - Ishii, Hiroaki
PY - 2009/12/1
Y1 - 2009/12/1
N2 - Many researchers have proposed portfolio models based on the stochastic and fuzzy approaches until now, and there are some models considering both random and ambiguous conditions, particularly using fuzzy random or random fuzzy variables. However, few studies with multiobjective random fuzzy models for the portfolio selection problems have been performed. Therefore, a multiobjective random fuzzy portfolio selection problem based on CAPM, which is one of the most standard factor models, is proposed. In the sense of mathematical programming, our proposed problems are not well-defined problems due to randomness and fuzziness. Therefore, setting some criterions and introducing chance constrains, main problems are transformed into deterministic programming problems. Finally, we construct a solution method to obtain a global optimal solution of the problem.
AB - Many researchers have proposed portfolio models based on the stochastic and fuzzy approaches until now, and there are some models considering both random and ambiguous conditions, particularly using fuzzy random or random fuzzy variables. However, few studies with multiobjective random fuzzy models for the portfolio selection problems have been performed. Therefore, a multiobjective random fuzzy portfolio selection problem based on CAPM, which is one of the most standard factor models, is proposed. In the sense of mathematical programming, our proposed problems are not well-defined problems due to randomness and fuzziness. Therefore, setting some criterions and introducing chance constrains, main problems are transformed into deterministic programming problems. Finally, we construct a solution method to obtain a global optimal solution of the problem.
KW - CAPM
KW - Deterministic equivalent transformation
KW - Portfolio selection
KW - Random fuzzy programming
UR - http://www.scopus.com/inward/record.url?scp=74849127112&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=74849127112&partnerID=8YFLogxK
U2 - 10.1109/ICSMC.2009.5346239
DO - 10.1109/ICSMC.2009.5346239
M3 - Conference contribution
AN - SCOPUS:74849127112
SN - 9781424427949
T3 - Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
SP - 1316
EP - 1321
BT - Proceedings 2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
T2 - 2009 IEEE International Conference on Systems, Man and Cybernetics, SMC 2009
Y2 - 11 October 2009 through 14 October 2009
ER -