A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming

Authors:
Takashi Hasuike;Hiroaki Ishii
Affiliations:
Graduate School of Information Science and Technology, Osaka University, Suita, Osaka, Japan;Graduate School of Information Science and Technology, Osaka University, Suita, Osaka, Japan
Venue:
FUZZ-IEEE'09 Proceedings of the 18th international conference on Fuzzy Systems
Year:
2009

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A portfolio selection problem with type-2 fuzzy return based on possibility measure and interval programming

FUZZ-IEEE'09 Proceedings of the 18th international conference on Fuzzy Systems

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Abstract

This paper discusses a portfolio selection problem with type-2 fuzzy future returns involving interval numbers considering the investor's subjectivity. Since this proposed problem is not well-defined due to primary and secondary fuzziness, introducing the possibility measure that the total return is more than the target value, the main problem is transformed into the type-1 fuzzy programming problem with the interval value. Furthermore, using the hybrid solution approach based on the linearity of the deterministic equivalent problem and the interval programming problem, the efficient solution is constructed. In order to compare the proposed model with previous standard models, a numerical example derived from the current stock market is provided.