Portfolio Selection Problems Using the Scenario Model with Fuzzy Returns

Takashi Hasuik ； Hiroaki Ishii

《Asia Pacific Management Review》 14卷3期 (2009/09) Pp. 335-347

https://doi.org/10.6126/APMR.2009.14.3.07

並列摘要

In this paper, we propose several mathematical models with respect to portfolio selection problems, particularly using the scenario model including the ambiguous factors. These mathematical programming problems with probabilities and possibilities are called to stochastic programming problem and fuzzy programming problem, and it is difficult to find the global optimal solution for those problems. We manage to develop an efficient solution method to find the global optimal solution of such a nonlinear programming problem. Furthermore, a numerical example of the portfolio selection problem is given to compare our proposal models with previous standard fuzzy portfolio models.

並列關鍵字

Portfolio selection problem ； scenario model ； stochastic and Fuzzy programming ； nonlinear programming problem

參考文獻

Guo, P.,Tanaka, H.(1998).Possibility data analysis and its application to portfolio selection problems.Fuzzy Economic Rev..3(2),3-33.

Katagiri, H.,Ishii, H.,Sakawa, M.(2004).On fuzzy random linear knapsack problems.Central European Journal of Operations Research.12(1),59-70.

Katagiri, H.,Sakawa, M.,Ishii, H.(2005).A study on fuzzy random portfolio selection problems using possibility and necessity measures.Scientiae Mathematicae Japonocae.65(2),361-369.

Watada, J.(1997).Fuzzy portfolio selection and its applications to decision making.Tatra Mountains Math. Pub..13(4),219-248.

Bawa, V.S.,Lindenberg, E.B.(1977).Capital market equilibrium in a mean-lower partial moment framework.Journal of Financial Economics.5(2),189-200.