Portfolio Selection Problems with Normal Mixture Distributions Including Fuzziness

• Hasuike, Takashi

• Ishii, Hiroaki

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.

Journal

• Proceedings : Fourth International Workshop on Computational Intelligence & Applications

  Proceedings : Fourth International Workshop on Computational Intelligence & Applications 2008 (1), 65-70, 2008-12

  IEEE SMC Hiroshima Chapter

Details

• CRID: 1050574047102012800
• NII Article ID: 120006658605
• Web Site: https://ousar.lib.okayama-u.ac.jp/14796
• Web Site: http://ir.lib.hiroshima-u.ac.jp/00025622
• Text Lang: en
• Article Type: conference paper
• Data Source:
  • IRDB
  • CiNii Articles