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ID 25622
本文ファイル
著者
Hasuike, Takashi
Ishii, Hiroaki
NDC
技術・工学
抄録(英)
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.
掲載誌名
Fourth International Workshop on Computational Intelligence & Applications Proceedings : IWCIA 2008
開始ページ
65
終了ページ
70
出版年月日
2008-12
出版者
IEEE SMC Hiroshima Chapter
ISSN
1883-3977
言語
英語
NII資源タイプ
会議発表論文
広大資料タイプ
会議発表論文
DCMIタイプ
text
フォーマット
application/pdf
著者版フラグ
publisher
権利情報
(c) Copyright by IEEE SMC Hiroshima Chapter.
部局名
工学研究科