TY - GEN
T1 - Robust-based random fuzzy mean-variance model using a fuzzy reasoning method
AU - Hasuike, Takashi
AU - Katagiri, Hideki
AU - Tsuda, Hiroshi
PY - 2012
Y1 - 2012
N2 - This paper considers a robust-based random fuzzy mean-variance portfolio selection problem using a fuzzy reasoning method, particularly a single input type fuzzy reasoning method. Capital Asset Pricing Model is introduced as a future return of each security, and the market portfolio is assumed to be a random fuzzy variable whose mean is derived from a fuzzy reasoning method. Furthermore, under interval inputs of fuzzy reasoning method, a robust programming approach is introduced in order to minimize the worst case of the total variance. The proposed model is equivalently transformed into the deterministic nonlinear programming problem, and so the solution steps to obtain the exact optimal portfolio are developed.
AB - This paper considers a robust-based random fuzzy mean-variance portfolio selection problem using a fuzzy reasoning method, particularly a single input type fuzzy reasoning method. Capital Asset Pricing Model is introduced as a future return of each security, and the market portfolio is assumed to be a random fuzzy variable whose mean is derived from a fuzzy reasoning method. Furthermore, under interval inputs of fuzzy reasoning method, a robust programming approach is introduced in order to minimize the worst case of the total variance. The proposed model is equivalently transformed into the deterministic nonlinear programming problem, and so the solution steps to obtain the exact optimal portfolio are developed.
KW - Fuzzy reasoning method
KW - Portfolio selection problem
KW - Random fuzzy programming
KW - Robust programming
UR - http://www.scopus.com/inward/record.url?scp=84867483639&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84867483639&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:84867483639
SN - 9789881925190
T3 - Lecture Notes in Engineering and Computer Science
SP - 1461
EP - 1466
BT - International MultiConference of Engineers and Computer Scientists, IMECS 2012
PB - Newswood Limited
T2 - 2012 International MultiConference of Engineers and Computer Scientists, IMECS 2012
Y2 - 14 March 2012 through 16 March 2012
ER -