Portfolio Selection Problems with Normal Mixture Distributions Including Fuzziness
Fourth International Workshop on Computational Intelligence & Applications Proceedings : IWCIA 2008
65-70 頁
2008-12 発行
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この文献の参照には次のURLをご利用ください : https://ir.lib.hiroshima-u.ac.jp/00025622
| ファイル情報(添付) | |
| タイトル ( eng ) |
Portfolio Selection Problems with Normal Mixture Distributions Including Fuzziness
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| 作成者 |
Hasuike Takashi
Ishii Hiroaki
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| 収録物名 |
Fourth International Workshop on Computational Intelligence & Applications Proceedings : IWCIA 2008
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| 開始ページ | 65 |
| 終了ページ | 70 |
| 抄録 |
In this paper, several portfolio selection problems with normal mixture distributions including fuzziness are proposed. Until now, many researchers have proposed portfolio models based on the stochastic approach, and there are some models considering both random and ambiguous conditions, particularly using fuzzy random or random fuzzy variables. However, the model including normal mixture distributions with fuzzy numbers has not been proposed yet. Our proposed problems are not well-defined problems due to randomness and fuzziness. Therefore, setting some criterions and introducing chance constrains, main problems are transformed into deterministic programming problems. Finally, we construct a solution method to obtain a global optimal solution of the problem.
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| NDC分類 |
技術・工学 [ 500 ]
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| 言語 |
英語
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| 資源タイプ | 会議発表論文 |
| 出版者 |
IEEE SMC Hiroshima Chapter
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| 発行日 | 2008-12 |
| 権利情報 |
(c) Copyright by IEEE SMC Hiroshima Chapter.
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| 出版タイプ | Version of Record（出版社版。早期公開を含む） |
| アクセス権 | オープンアクセス |
| 収録物識別子 |
[ISSN] 1883-3977
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