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Risk-Management Models Based on the Portfolio Theory Using Historical Data under Uncertainty

Risk-Management Models Based on the Portfolio Theory Using Historical Data under Uncertainty

Takashi Hasuike
Copyright: © 2010 |Pages: 24
ISBN13: 9781615207572|ISBN10: 1615207570|ISBN13 Softcover: 9781616922825|EISBN13: 9781615207589
DOI: 10.4018/978-1-61520-757-2.ch007
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MLA

Hasuike, Takashi. "Risk-Management Models Based on the Portfolio Theory Using Historical Data under Uncertainty." Intelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies, edited by Leon Shyue-Liang Wang and Tzung-Pei Hong, IGI Global, 2010, pp. 123-146. https://doi.org/10.4018/978-1-61520-757-2.ch007

APA

Hasuike, T. (2010). Risk-Management Models Based on the Portfolio Theory Using Historical Data under Uncertainty. In L. Wang & T. Hong (Eds.), Intelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies (pp. 123-146). IGI Global. https://doi.org/10.4018/978-1-61520-757-2.ch007

Chicago

Hasuike, Takashi. "Risk-Management Models Based on the Portfolio Theory Using Historical Data under Uncertainty." In Intelligent Soft Computation and Evolving Data Mining: Integrating Advanced Technologies, edited by Leon Shyue-Liang Wang and Tzung-Pei Hong, 123-146. Hershey, PA: IGI Global, 2010. https://doi.org/10.4018/978-1-61520-757-2.ch007

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Abstract

This chapter considers various types of risk-management models based on the portfolio theory under some social uncertainty that received historical data includes ambiguity, and that they are assumed not to be constant. These models with uncertainty are represented many social problems such as assets allocation, logistics, scheduling, urban project problems, etc.. However, since these problems with uncertainty are formulated as stochastic and fuzzy programming problems, it is difficult to solve them analytically in the sense of deterministic mathematical programming. Therefore, introducing possibility and necessity measures based on the fuzzy programming approach and considering the concept of risk-management based on the portfolio theory, main problems are transformed into the deterministic programming problems. Then, in order to solve the deterministic problems efficiently, the solution method is constructed.

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