Portfolio selection problems with random fuzzy variable returns

Takashi Hasuike; Hideki Katagiri; Hiroaki Ishii

doi:10.1109/FUZZY.2007.4295402

Portfolio selection problems with random fuzzy variable returns

Takashi Hasuike^*, Hideki Katagiri, Hiroaki Ishii

^*Corresponding author for this work

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

11 Citations (Scopus)

Abstract

In this paper, two portfolio selection problems including probabilistic future returns with ambiguous expected returns are proposed. Until now, many researchers have proposed models of portfolio selection problems, and there are some models considering both random conditions and ambiguous conditions, particularly using fuzzy random variables. However, the model including the random fuzzy variables has not been proposed yet. Therefore in this paper, we propose a random fuzzy portfolio selection problem. The formulated problem is transformed into a nonlinear programming problem. Finally, we construct a solution method to find a global optimal solution of the problem.

Original language	English
Title of host publication	2007 IEEE International Conference on Fuzzy Systems, FUZZY
DOIs	https://doi.org/10.1109/FUZZY.2007.4295402
Publication status	Published - 2007
Externally published	Yes
Event	2007 IEEE International Conference on Fuzzy Systems, FUZZY - London, United Kingdom Duration: 2007 Jul 23 → 2007 Jul 26

Publication series

Name	IEEE International Conference on Fuzzy Systems
ISSN (Print)	1098-7584

Other

Other	2007 IEEE International Conference on Fuzzy Systems, FUZZY
Country/Territory	United Kingdom
City	London
Period	07/7/23 → 07/7/26

ASJC Scopus subject areas

Software
Theoretical Computer Science
Artificial Intelligence
Applied Mathematics

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10.1109/FUZZY.2007.4295402

Cite this

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title = "Portfolio selection problems with random fuzzy variable returns",

abstract = "In this paper, two portfolio selection problems including probabilistic future returns with ambiguous expected returns are proposed. Until now, many researchers have proposed models of portfolio selection problems, and there are some models considering both random conditions and ambiguous conditions, particularly using fuzzy random variables. However, the model including the random fuzzy variables has not been proposed yet. Therefore in this paper, we propose a random fuzzy portfolio selection problem. The formulated problem is transformed into a nonlinear programming problem. Finally, we construct a solution method to find a global optimal solution of the problem.",

author = "Takashi Hasuike and Hideki Katagiri and Hiroaki Ishii",

year = "2007",

doi = "10.1109/FUZZY.2007.4295402",

language = "English",

isbn = "1424412102",

series = "IEEE International Conference on Fuzzy Systems",

booktitle = "2007 IEEE International Conference on Fuzzy Systems, FUZZY",

note = "2007 IEEE International Conference on Fuzzy Systems, FUZZY ; Conference date: 23-07-2007 Through 26-07-2007",

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AU - Hasuike, Takashi

AU - Katagiri, Hideki

AU - Ishii, Hiroaki

PY - 2007

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N2 - In this paper, two portfolio selection problems including probabilistic future returns with ambiguous expected returns are proposed. Until now, many researchers have proposed models of portfolio selection problems, and there are some models considering both random conditions and ambiguous conditions, particularly using fuzzy random variables. However, the model including the random fuzzy variables has not been proposed yet. Therefore in this paper, we propose a random fuzzy portfolio selection problem. The formulated problem is transformed into a nonlinear programming problem. Finally, we construct a solution method to find a global optimal solution of the problem.

AB - In this paper, two portfolio selection problems including probabilistic future returns with ambiguous expected returns are proposed. Until now, many researchers have proposed models of portfolio selection problems, and there are some models considering both random conditions and ambiguous conditions, particularly using fuzzy random variables. However, the model including the random fuzzy variables has not been proposed yet. Therefore in this paper, we propose a random fuzzy portfolio selection problem. The formulated problem is transformed into a nonlinear programming problem. Finally, we construct a solution method to find a global optimal solution of the problem.

UR - http://www.scopus.com/inward/record.url?scp=50249126093&partnerID=8YFLogxK

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DO - 10.1109/FUZZY.2007.4295402

M3 - Conference contribution

AN - SCOPUS:50249126093

SN - 1424412102

SN - 9781424412105

T3 - IEEE International Conference on Fuzzy Systems

BT - 2007 IEEE International Conference on Fuzzy Systems, FUZZY

T2 - 2007 IEEE International Conference on Fuzzy Systems, FUZZY

Y2 - 23 July 2007 through 26 July 2007

ER -

Portfolio selection problems with random fuzzy variable returns

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