Risk-Controlled Multiobjective Portfolio Selection Problem Using a Principle of Compromise

Joint Authors

Hasuike, Takashi
Katagiri, Hideki

Source

Mathematical Problems in Engineering

Issue

Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.

Publisher

Hindawi Publishing Corporation

Publication Date

2014-04-29

Country of Publication

Egypt

No. of Pages

7

Main Subjects

Civil Engineering

Abstract EN

This paper proposes a multiobjective portfolio selection problem with most probable random distribution derived from current market data and other random distributions of boom and recession under the risk-controlled parameters determined by an investor.

The current market data and information include not only historical data but also interpretations of economists’ oral and linguistic information, and hence, the boom and recession are often caused by these nonnumeric data.

Therefore, investors need to consider several situations from most probable condition to boom and recession and to avoid the risk less than the target return in each situation.

Furthermore, it is generally difficult to set random distributions of these cases exactly.

Therefore, a robust-based approach for portfolio selection problems using the only mean values and variances of securities is proposed as a multiobjective programming problem.

In addition, an exact algorithm is developed to obtain an explicit optimal portfolio using a principle of compromise.

American Psychological Association (APA)

Hasuike, Takashi& Katagiri, Hideki. 2014. Risk-Controlled Multiobjective Portfolio Selection Problem Using a Principle of Compromise. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-455881

Modern Language Association (MLA)

Hasuike, Takashi& Katagiri, Hideki. Risk-Controlled Multiobjective Portfolio Selection Problem Using a Principle of Compromise. Mathematical Problems in Engineering No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-455881

American Medical Association (AMA)

Hasuike, Takashi& Katagiri, Hideki. Risk-Controlled Multiobjective Portfolio Selection Problem Using a Principle of Compromise. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-455881

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references

Record ID

BIM-455881