IAENG Transactions on Engineering Technologies
Volume 186 of the series Lecture Notes in Electrical Engineering pp 91103
Robust Portfolio Selection Model with Random Fuzzy Returns Based on Arbitrage Pricing Theory and Fuzzy Reasoning Method
 Takashi HasuikeAffiliated withGraduate School of Information Science and Technology, Osaka University Email author
 , Hideki KatagiriAffiliated withGraduate School of Engineering, Hiroshima University
 , Hiroshi TsudaAffiliated withDepartment of Mathematical Sciences, Faculty of Science and Engineering, Doshisha University
Abstract
This paper considers a robustbased random fuzzy meanvariance portfolio selection problem using a fuzzy reasoning method, particularly a single input type fuzzy reasoning method. Arbitrage Pricing Theory (APT) is introduced as a future return of each security, and each factor in APT is assumed to be a random fuzzy variable whose mean is derived from a fuzzy reasoning method. Furthermore, under interval inputs of fuzzy reasoning method, a robust programming approach is introduced in order to minimize the worst case of the total variance. The proposed model is equivalently transformed into the deterministic nonlinear programming problem, and so the solution steps to obtain the exact optimal portfolio are developed.
Keywords
Portfolio selection problem Arbitrage pricing theory (APT) Random fuzzy programming Fuzzy reasoning method Robust programming Equivalent transformation Exact solution algorithm Title
 Robust Portfolio Selection Model with Random Fuzzy Returns Based on Arbitrage Pricing Theory and Fuzzy Reasoning Method
 Book Title
 IAENG Transactions on Engineering Technologies
 Book Subtitle
 Special Issue of the International MultiConference of Engineers and Computer Scientists 2012
 Pages
 pp 91103
 Copyright
 2013
 DOI
 10.1007/9789400756519_7
 Print ISBN
 9789400756236
 Online ISBN
 9789400756519
 Series Title
 Lecture Notes in Electrical Engineering
 Series Volume
 186
 Series ISSN
 18761100
 Publisher
 Springer Netherlands
 Copyright Holder
 Springer Science+Business Media Dordrecht
 Additional Links
 Topics
 Keywords

 Portfolio selection problem
 Arbitrage pricing theory (APT)
 Random fuzzy programming
 Fuzzy reasoning method
 Robust programming
 Equivalent transformation
 Exact solution algorithm
 Industry Sectors
 eBook Packages
 Editors

 GiChul Yang ^{(ID1)}
 SioIong Ao ^{(ID2)}
 Xu Huang ^{(ID3)}
 Oscar Castillo ^{(ID4)}
 Editor Affiliations

 ID1. , Department of Multimedia Engineering, Mokpo National University
 ID2. , Unit 1, 1/F, International Association of Engineers
 ID3. , Faculty of Information Sciences and Engi, University of Canberra
 ID4. , Calzada Tecnologico s/n, Tijuana Institute of Technology
 Authors

 Takashi Hasuike ^{(1)}
 Hideki Katagiri ^{(2)}
 Hiroshi Tsuda ^{(3)}
 Author Affiliations

 1. Graduate School of Information Science and Technology, Osaka University, 21 Yamadaoka, Suita, Osaka, 5650871, Japan
 2. Graduate School of Engineering, Hiroshima University, 141 Kagamiyama, HigashiHiroshima, Hiroshima, 7398527, Japan
 3. Department of Mathematical Sciences, Faculty of Science and Engineering, Doshisha University, 13 Tatara Miyakodani, Kyotanabe, Kyoto, 6100321, Japan
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