Robust Portfolio Selection Problems Including Uncertainty Factors
Robust Portfolio Selection Problems Including Uncertainty Factors
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发表时间：
2008
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通讯作者：
T. Hasuike;H. Ishii
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作者：
T. Hasuike;H. Ishii
研究了含有不确定性集和模糊因素的鲁棒均值-方差投资组合选择问题。由于这些问题是不明确的问题，由于模糊因素，很难直接解决它们。因此，通过引入机会约束、模糊目标和可能性测度，将模型转化为确定性等价问题。此外，由于它是很难解析和有效地解决它们由于非线性规划问题，该解决方案的方法被构造引入一个参数，并做等价的转换。
This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore, since it is difficult to solve them analytically and efficiently due to nonlinear programming problems, the solution method is constructed introducing a parameter and doing the equivalent transformations.