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
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