Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method

Takashi Hasuike; Hideki Katagiri; Hiroshi Tsuda

doi:10.1007/978-94-007-5651-9_7

Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method

Takashi Hasuike^*, Hideki Katagiri, Hiroshi Tsuda

^*Corresponding author for this work

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

Abstract

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. Arbitrage Pricing Theory (APT) is introduced as a future return of each security, and each factor in APT 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.

Original language	English
Title of host publication	IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012
Publisher	Springer Verlag
Pages	91-103
Number of pages	13
ISBN (Print)	9789400756236
DOIs	https://doi.org/10.1007/978-94-007-5651-9_7
Publication status	Published - 2013
Externally published	Yes
Event	International MultiConference of Engineers and Computer Scientists 2012, IMECS 2012 - Hong Kong, Hong Kong Duration: 2012 Mar 14 → 2012 Mar 16

Publication series

Name	Lecture Notes in Electrical Engineering
Volume	186 LNEE
ISSN (Print)	1876-1100
ISSN (Electronic)	1876-1119

Other

Other	International MultiConference of Engineers and Computer Scientists 2012, IMECS 2012
Country/Territory	Hong Kong
City	Hong Kong
Period	12/3/14 → 12/3/16

Keywords

Arbitrage pricing theory (APT)
Equivalent transformation
Exact solution algorithm
Fuzzy reasoning method
Portfolio selection problem
Random fuzzy programming
Robust programming

ASJC Scopus subject areas

Industrial and Manufacturing Engineering

Access to Document

10.1007/978-94-007-5651-9_7

Cite this

Hasuike, T., Katagiri, H., & Tsuda, H. (2013). Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method. In IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012 (pp. 91-103). (Lecture Notes in Electrical Engineering; Vol. 186 LNEE). Springer Verlag. https://doi.org/10.1007/978-94-007-5651-9_7

Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method. / Hasuike, Takashi; Katagiri, Hideki; Tsuda, Hiroshi.
IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012. Springer Verlag, 2013. p. 91-103 (Lecture Notes in Electrical Engineering; Vol. 186 LNEE).

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

Hasuike, T, Katagiri, H & Tsuda, H 2013, Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method. in IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012. Lecture Notes in Electrical Engineering, vol. 186 LNEE, Springer Verlag, pp. 91-103, International MultiConference of Engineers and Computer Scientists 2012, IMECS 2012, Hong Kong, Hong Kong, 12/3/14. https://doi.org/10.1007/978-94-007-5651-9_7

Hasuike T, Katagiri H, Tsuda H. Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method. In IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012. Springer Verlag. 2013. p. 91-103. (Lecture Notes in Electrical Engineering). doi: 10.1007/978-94-007-5651-9_7

Hasuike, Takashi ; Katagiri, Hideki ; Tsuda, Hiroshi. / Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method. IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012. Springer Verlag, 2013. pp. 91-103 (Lecture Notes in Electrical Engineering).

@inproceedings{8b438e7263c44393824083ab1e6d05b6,

title = "Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method",

abstract = "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. Arbitrage Pricing Theory (APT) is introduced as a future return of each security, and each factor in APT 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.",

keywords = "Arbitrage pricing theory (APT), Equivalent transformation, Exact solution algorithm, Fuzzy reasoning method, Portfolio selection problem, Random fuzzy programming, Robust programming",

author = "Takashi Hasuike and Hideki Katagiri and Hiroshi Tsuda",

note = "Copyright: Copyright 2021 Elsevier B.V., All rights reserved.; International MultiConference of Engineers and Computer Scientists 2012, IMECS 2012 ; Conference date: 14-03-2012 Through 16-03-2012",

year = "2013",

doi = "10.1007/978-94-007-5651-9_7",

language = "English",

isbn = "9789400756236",

series = "Lecture Notes in Electrical Engineering",

publisher = "Springer Verlag",

pages = "91--103",

booktitle = "IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012",

}

TY - GEN

T1 - Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method

AU - Hasuike, Takashi

AU - Katagiri, Hideki

AU - Tsuda, Hiroshi

PY - 2013

Y1 - 2013

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. Arbitrage Pricing Theory (APT) is introduced as a future return of each security, and each factor in APT 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. Arbitrage Pricing Theory (APT) is introduced as a future return of each security, and each factor in APT 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 - Arbitrage pricing theory (APT)

KW - Equivalent transformation

KW - Exact solution algorithm

KW - Fuzzy reasoning method

KW - Portfolio selection problem

KW - Random fuzzy programming

KW - Robust programming

UR - http://www.scopus.com/inward/record.url?scp=84872585685&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84872585685&partnerID=8YFLogxK

U2 - 10.1007/978-94-007-5651-9_7

DO - 10.1007/978-94-007-5651-9_7

M3 - Conference contribution

AN - SCOPUS:84872585685

SN - 9789400756236

T3 - Lecture Notes in Electrical Engineering

SP - 91

EP - 103

BT - IAENG Transactions on Engineering Technologies - Special Issue of the International MultiConference of Engineers and Computer Scientists 2012

PB - Springer Verlag

T2 - International MultiConference of Engineers and Computer Scientists 2012, IMECS 2012

Y2 - 14 March 2012 through 16 March 2012

ER -

Robust portfolio selection model with random fuzzy returns based on arbitrage pricing theory and fuzzy reasoning method

Abstract

Publication series

Other

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this