A Robust Portfolio Selection Problem based on a Confidence Interval with Investor's Subjectiviety

被引:0
|
作者
Hasuike, Takashi [1 ]
Katagiri, Hideki [2 ]
机构
[1] Osaka Univ, Grad Sch Informat Sci & Technol, 2-1 Yamadaoka, Suita, Osaka 5650871, Japan
[2] Hiroshima Univ, Grad Sch Engn, Hiroshima 7398527, Japan
来源
IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ 2011) | 2011年
关键词
component; portfolio selection problem; robust programming; confidential interval; fuzzy goal; POSSIBILITY DISTRIBUTIONS; MARKET;
D O I
暂无
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
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.
引用
收藏
页码:531 / 536
页数:6
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