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ID 14796
Eprint ID
14796
フルテキストURL
著者
Hasuike Takashi Osaka University
Ishii Hiroaki Osaka University
抄録
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.
発行日
2008-12
出版物タイトル
Proceedings : Fourth International Workshop on Computational Intelligence & Applications
2008巻
1号
出版者
IEEE SMC Hiroshima Chapter
開始ページ
65
終了ページ
70
資料タイプ
会議発表論文
言語
English
イベント
Fourth International Workshop on Computational Intelligence & Applications IEEE SMC Hiroshima Chapter : IWCIA 2008
イベント地
東広島市
イベント地の別言語
Higashi-Hiroshima City
論文のバージョン
publisher
査読
有り
Eprints Journal Name
IWCIA