Portfolio Selection Problems with Normal Mixture Distributions Including Fuzziness

Fourth International Workshop on Computational Intelligence & Applications Proceedings : IWCIA 2008 Page 65-70 published_at 2008-12
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Title ( eng )
Portfolio Selection Problems with Normal Mixture Distributions Including Fuzziness
Creator
Hasuike Takashi
Ishii Hiroaki
Source Title
Fourth International Workshop on Computational Intelligence & Applications Proceedings : IWCIA 2008
Start Page 65
End Page 70
Abstract
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.
NDC
Technology. Engineering [ 500 ]
Language
eng
Resource Type conference paper
Publisher
IEEE SMC Hiroshima Chapter
Date of Issued 2008-12
Rights
(c) Copyright by IEEE SMC Hiroshima Chapter.
Publish Type Version of Record
Access Rights open access
Source Identifier
[ISSN] 1883-3977