ID | 14796 |
Eprint ID | 14796
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FullText URL | |
Author |
Hasuike Takashi
Ishii Hiroaki
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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.
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Published Date | 2008-12
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Publication Title |
Proceedings : Fourth International Workshop on Computational Intelligence & Applications
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Volume | volume2008
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Issue | issue1
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Publisher | IEEE SMC Hiroshima Chapter
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Start Page | 65
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End Page | 70
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Content Type |
Conference Paper
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language |
English
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Event Title | Fourth International Workshop on Computational Intelligence & Applications IEEE SMC Hiroshima Chapter : IWCIA 2008
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Event Location | 東広島市
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Event Location Alternative | Higashi-Hiroshima City
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File Version | publisher
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Refereed |
True
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Eprints Journal Name | IWCIA
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