TY - GEN
T1 - A robust portfolio selection problem based on a confidence interval with investor's subjectiviety
AU - Hasuike, Takashi
AU - Katagiri, Hideki
PY - 2011/9/27
Y1 - 2011/9/27
N2 - This paper considers a robust portfolio selection problem considering a confidence interval with subjectivity to the weight for the standard deviation. Since the proposed model is formulated as an ill-defined problem due to fuzziness and bi-object derived from maximizing both robustness and investor's satisfaction level to the total profit, it is hard to solve it directly. Therefore, introducing fuzzy goals for the bi-objective functions, the proposed model is transformed into the deterministic equivalent problem. Furthermore, in order to obtain the exact optimal portfolio analytically, the solution method is developed introducing a parameter and doing the equivalent transformations.
AB - This paper considers a robust portfolio selection problem considering a confidence interval with subjectivity to the weight for the standard deviation. Since the proposed model is formulated as an ill-defined problem due to fuzziness and bi-object derived from maximizing both robustness and investor's satisfaction level to the total profit, it is hard to solve it directly. Therefore, introducing fuzzy goals for the bi-objective functions, the proposed model is transformed into the deterministic equivalent problem. Furthermore, in order to obtain the exact optimal portfolio analytically, the solution method is developed introducing a parameter and doing the equivalent transformations.
KW - component
KW - confidential interval
KW - fuzzy goal
KW - portfolio selection problem
KW - robust programming
UR - http://www.scopus.com/inward/record.url?scp=80053087044&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=80053087044&partnerID=8YFLogxK
U2 - 10.1109/FUZZY.2011.6007371
DO - 10.1109/FUZZY.2011.6007371
M3 - Conference contribution
AN - SCOPUS:80053087044
SN - 9781424473175
T3 - IEEE International Conference on Fuzzy Systems
SP - 531
EP - 536
BT - FUZZ 2011 - 2011 IEEE International Conference on Fuzzy Systems - Proceedings
T2 - 2011 IEEE International Conference on Fuzzy Systems, FUZZ 2011
Y2 - 27 June 2011 through 30 June 2011
ER -