Portfolio selection problems considering fuzzy returns of future scenarios

Takashi Hasuike; Hiroaki Ishii

doi:10.1109/ICICIC.2007.457

Portfolio selection problems considering fuzzy returns of future scenarios

Takashi Hasuike^*, Hiroaki Ishii

^*Corresponding author for this work

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

1 Citation (Scopus)

Abstract

In this paper, we propose multi-objective mathematical decision models with respect to portfolio selection problems, particularly using the scenario model to include the ambiguous factors. In real investment case, since many random and ambiguous situations exist, portfolio selection problems under such situations are considered. Mathematical programming problems including them are generally called to stochastic programming problems and fuzzy programming problems, and they are equivalently transformed into nonlinear programming problems. Since it is difficult to find the global optimal solution with respect to their problems directly, in this paper, we construct the efficient solution method to find the global optimal solution of such nonlinear programming problems.

Original language	English
Title of host publication	Second International Conference on Innovative Computing, Information and Control, ICICIC 2007
Publisher	IEEE Computer Society
ISBN (Print)	0769528821, 9780769528823
DOIs	https://doi.org/10.1109/ICICIC.2007.457
Publication status	Published - 2007
Externally published	Yes
Event	2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007 - Kumamoto, Japan Duration: 2007 Sept 5 → 2007 Sept 7

Publication series

Name	Second International Conference on Innovative Computing, Information and Control, ICICIC 2007

Other

Other	2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007
Country/Territory	Japan
City	Kumamoto
Period	07/9/5 → 07/9/7

ASJC Scopus subject areas

Computer Science(all)
Mechanical Engineering

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10.1109/ICICIC.2007.457

Cite this

Hasuike, T., & Ishii, H. (2007). Portfolio selection problems considering fuzzy returns of future scenarios. In Second International Conference on Innovative Computing, Information and Control, ICICIC 2007 Article 4427816 (Second International Conference on Innovative Computing, Information and Control, ICICIC 2007). IEEE Computer Society. https://doi.org/10.1109/ICICIC.2007.457

Portfolio selection problems considering fuzzy returns of future scenarios. / Hasuike, Takashi; Ishii, Hiroaki.
Second International Conference on Innovative Computing, Information and Control, ICICIC 2007. IEEE Computer Society, 2007. 4427816 (Second International Conference on Innovative Computing, Information and Control, ICICIC 2007).

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

Hasuike, T & Ishii, H 2007, Portfolio selection problems considering fuzzy returns of future scenarios. in Second International Conference on Innovative Computing, Information and Control, ICICIC 2007., 4427816, Second International Conference on Innovative Computing, Information and Control, ICICIC 2007, IEEE Computer Society, 2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007, Kumamoto, Japan, 07/9/5. https://doi.org/10.1109/ICICIC.2007.457

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AB - In this paper, we propose multi-objective mathematical decision models with respect to portfolio selection problems, particularly using the scenario model to include the ambiguous factors. In real investment case, since many random and ambiguous situations exist, portfolio selection problems under such situations are considered. Mathematical programming problems including them are generally called to stochastic programming problems and fuzzy programming problems, and they are equivalently transformed into nonlinear programming problems. Since it is difficult to find the global optimal solution with respect to their problems directly, in this paper, we construct the efficient solution method to find the global optimal solution of such nonlinear programming problems.

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Portfolio selection problems considering fuzzy returns of future scenarios

Abstract

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