TY - CHAP
T1 - Portfolio selection problem based on possibility theory using the scenario model with ambiguous future returns
AU - Hasuike, Takashi
AU - Ishii, Hiroaki
PY - 2007/12/1
Y1 - 2007/12/1
N2 - In this paper, we propose the solution method about the multiobjective portfolio selection problem, particularly the scenario model to include the ambiguous factors and chance constraints. Generally, mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find its global optimal solution. In this paper, we manage to develop the efficient solution method to find its global optimal solution of such a problem introducing the some subproblems.
AB - In this paper, we propose the solution method about the multiobjective portfolio selection problem, particularly the scenario model to include the ambiguous factors and chance constraints. Generally, mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find its global optimal solution. In this paper, we manage to develop the efficient solution method to find its global optimal solution of such a problem introducing the some subproblems.
KW - Chance constraint
KW - Portfolio selection problem
KW - Possibility and Necessity measure
KW - Scenario model
UR - http://www.scopus.com/inward/record.url?scp=58149233750&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=58149233750&partnerID=8YFLogxK
U2 - 10.1007/978-3-540-72434-6_32
DO - 10.1007/978-3-540-72434-6_32
M3 - Chapter
AN - SCOPUS:58149233750
SN - 9783540724339
T3 - Advances in Soft Computing
SP - 314
EP - 323
BT - Theoretical Advances and Applications of Fuzzy Logic and Soft Computing
A2 - Castillo, Oscar
A2 - Melin, Patricia
A2 - Ross, Oscar Montiel
A2 - Cruz, Roberto Sepulveda
A2 - Pedrycz, Witold
A2 - Kacprzyk, Janusz
ER -