A fuzzy random multi-objective approach for portfolio selection

Journal of Industrial Engineering International

مقاله 2، دوره 7، شماره 13، خرداد 2011، صفحه 12-21   

نویسندگان

M.B Aryanezhad¹؛ H Malekly²؛ M Karimi-Nasab³

¹Professor, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

²M.Sc., School of Industrial Engineering, Islamic Azad University, South Tehran branch, Tehran, Iran

³Ph.D. Student, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

چکیده

In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the preferred solution. Finally a numerical example is presented to illustrate the proposed model.

کلیدواژه‌ها

Fuzzy random programming؛ Multi-objective؛ Nonlinear Programming؛ Portfolio Selection