Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method.
Takashi HasuikeHideki KatagiriHiroshi TsudaPublished in: SCIS&ISIS (2012)
Keyphrases
- fuzzy reasoning
- fuzzy petri net
- fuzzy membership functions
- mathematical model
- fuzzy sets
- portfolio selection
- fuzzy rules
- dynamic programming
- membership functions
- fuzzy logic
- theoretical framework
- fuzzy inference system
- robust optimization
- objective function
- portfolio optimization
- quotient space
- petri net
- neural network
- decision theory
- evolutionary algorithm
- optimal portfolio
- machine learning