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- Title
Robust Portfolio Selection Problems Including Uncertainty Factors.
- Authors
Hasuike, Takashi; Ishii, Hiroaki
- Abstract
This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore, since it is difficult to solve them analytically and efficiently due to nonlinear programming problems, the solution method is constructed introducing a parameter and doing the equivalent transformations.
- Subjects
FUZZY algorithms; FUZZY sets; NONLINEAR programming; MATHEMATICAL programming; ROBUST optimization; MATHEMATICAL optimization
- Publication
IAENG International Journal of Applied Mathematics, 2008, Vol 38, Issue 3, p151
- ISSN
1992-9978
- Publication type
Article