A Fuzzy Goal Programming Model for Efficient Portfolio Selection.

Journal of Optimization in Industrial Engineering

مقاله 20، دوره 10، شماره 22، مهر 2017، صفحه 61-71   

نوع مقاله: Original Manuscript

شناسه دیجیتال (DOI): 10.22094/joie.2017.277

نویسندگان

Abolfazl Kazemi^{* 1}؛ Ali Shakourloo¹؛ Alireza Alinezhad²

¹Assistant Professor, Faculty of Industrial and Mechanical Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran

²Associate Professor, Faculty of Industrial and Mechanical Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran

چکیده

This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is proposed and then the proposed model is solved as a fuzzy goal programming model to fulfill aspiration level of each objective. Furthermore, numerical example of efficient portfolio selection is provided to illustrate that proposed model is versatile enough to be applicable to various unexpected conditions.
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is proposed and then the proposed model is solved as a fuzzy goal programming model to fulfill aspiration level of each objective. Furthermore, numerical example of efficient portfolio selection is provided to illustrate that proposed model is versatile enough to be applicable to various unexpected conditions.

کلیدواژه‌ها

Multi-objective portfolio selection؛ Theory of possibility؛ Fuzzy goal programming model