Sensitivity Analysis for Portfolio Selection Problem Considering Investor's Subjectivity

被引：0

作者：

Hasuike, Takashi ^{[1
]}

Katagiri, Hideki ^{[1
]}

机构：

[1] Osaka Univ, Grad Sch Informat Sci & Technol, Suita, Osaka 565, Japan

来源：

INTERNATIONAL MULTICONFERENCE OF ENGINEERS AND COMPUTER SCIENTISTS (IMECS 2010), VOLS I-III | 2010年

关键词：

Portfolio selection problem; Random fuzzy programming; Sensitivity analysis; Analytical solution method; POSSIBILITY DISTRIBUTIONS; FUZZY; OPTIMIZATION;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

This paper considers a portfolio selection problem considering an investor's subjectivity and the sensitivity analysis for the change of subjectivity. Since this proposed problem is formulated as a random fuzzy programming problem, it is not well-defined due to randomness and fuzziness. Therefore, introducing Sharpe ratio which is one of important performance measures of portfolio models, the main problem is transformed into the standard fuzzy programming problem. Furthermore, using the sensitivity analysis for fuzziness, the analytical optimal portfolio with the sensitivity factor is obtained. http://www.iaeng.org/publication/IMECS2010/IMECS2010_pp2186-2190.pdf

引用

页码：2186 / +

页数：3

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