A Fuzzy Goal Programming Model for Efficient Portfolio Selection.

Document Type : Original Manuscript

Authors

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

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

Abstract

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.

Highlights

  • This manuscript considers gaining portfolio divided yield and risk control in an ambiguous investment environment
  • Based on the possibility theory a new multi-objective portfolio optimization model is developed
  • Numerical examples for an efficient portfolio selection is developed

Keywords

Journal of Optimization in Industrial Engineering
Volume 10, Issue 22
July 2017
Pages 61-71

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