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Robust Portfolio Selection Model with Random Fuzzy Returns Based on Arbitrage Pricing Theory and Fuzzy Reasoning Method

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IAENG Transactions on Engineering Technologies

Part of the book series: Lecture Notes in Electrical Engineering ((LNEE,volume 186))

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Abstract

This paper considers a robust-based random fuzzy mean-variance 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.

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Author information

Authors and Affiliations

  1. Graduate School of Information Science and Technology, Osaka University, 2-1 Yamadaoka, Suita, Osaka, 565-0871, Japan

    Takashi Hasuike

  2. Graduate School of Engineering, Hiroshima University, 1-4-1 Kagamiyama, Higashi-Hiroshima, Hiroshima, 739-8527, Japan

    Hideki Katagiri

  3. Department of Mathematical Sciences, Faculty of Science and Engineering, Doshisha University, 1-3 Tatara Miyakodani, Kyotanabe, Kyoto, 610-0321, Japan

    Hiroshi Tsuda

Authors
  1. Takashi Hasuike
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  2. Hideki Katagiri
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  3. Hiroshi Tsuda
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Corresponding author

Correspondence to Takashi Hasuike .

Editor information

Editors and Affiliations

  1. , Department of Multimedia Engineering, Mokpo National University, Dorim-ri, MuanGun 61, Chonnam, 534-729, Korea, Republic of (South Korea)

    Gi-Chul Yang

  2. , Unit 1, 1/F, International Association of Engineers, Hung To Road, Hong Kong, 37-39, Hong Kong SAR

    Sio-Iong Ao

  3. , Faculty of Information Sciences and Engi, University of Canberra, Building 11, Room A17, Bruce ACT, 2601, Australia

    Xu Huang

  4. , Calzada Tecnologico s/n, Tijuana Institute of Technology, Fracc. Tomas Aquino CP, Tijuana, 22379, Mexico

    Oscar Castillo

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Hasuike, T., Katagiri, H., Tsuda, H. (2013). Robust Portfolio Selection Model with Random Fuzzy Returns Based on Arbitrage Pricing Theory and Fuzzy Reasoning Method. In: Yang, GC., Ao, SI., Huang, X., Castillo, O. (eds) IAENG Transactions on Engineering Technologies. Lecture Notes in Electrical Engineering, vol 186. Springer, Dordrecht. https://doi.org/10.1007/978-94-007-5651-9_7

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  • DOI: https://doi.org/10.1007/978-94-007-5651-9_7

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  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-007-5623-6

  • Online ISBN: 978-94-007-5651-9

  • eBook Packages: EngineeringEngineering (R0)

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