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